Sökning: "determinants of interest rate swap"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden determinants of interest rate swap.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

3. 2. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Victoria Beschorner; Julius Mehl; [2021]
   Nyckelord :Interest Rate Risk Management; Interest Rate Hedging; Interest Rate Derivatives; Cash Flow Hedging; Fair Value Hedging;

   Sammanfattning : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. LÄS MER

4. 3. A study of the determinant factors of the Swedish interest rate swap spread

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Christina Hu; [2019]
   Nyckelord :Interest rate swap contracts; SEK swap spread; slope of the yield curve; credit spread; treasury supply;

   Sammanfattning : This study aims to find the driving determinant factors of the Swedish swap spread by identifying the potential determinants based on previous theoretical and empirical studies. The determinant factors studied in this paper are the slope of the yield curve, volatility, the credit spread, the treasury supply, the business cycle, and the Euro spread. LÄS MER

5. 4. DETERMINANTS OF CREDIT DEFAULT SWAP SPREADS: A REGIME-SHIFTING APPROACH

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Dilan Hewavitharana; Johan Rahmqvist; [2011]
   Nyckelord :credit default swap; markov switching model; principal component; determinants; regime; spread; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : This thesis investigates the theoretical determinants of the credit default swap spread by employing a regime-shifting approach. The variables that are examined are leverage, stock return, volatility and interest rate. A sample of 47 companies was selected with daily mid-market quotes between Jan 2008-Dec 2010 in order to proxy the CDS spread. LÄS MER

7. 5. An Empirical Analysis for Determinants of Interest Rate Swap Spread

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ke Zhang; Bing Liang; [2008]
   Nyckelord :interest rate; Swap spread; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : As one of the most popular derivatives to hedge interest rate risk, the variation of interest rate swap spread has been studied since its advent. Nevertheless, the variables in theory are regarded as determinant risk factors showing limited explanatory power. LÄS MER