INTEREST RATE SWAPS potx
INTEREST RATE SWAPS potx
... Lowering Fixed Rate Costs: Baa corporate borrows at floating rate = T-bill + 0.5% Aaa corporate borrows at floating rate = T-bill + .25% Quality spread for five years maturity = 1.5% Baa corporate borrows ... fix-flo 2 INTEREST RATE SWAPS Definition: Transfer of interest rate streams without transferring underlying debt. 3 FIXED FOR FLOATING SWAP Some Definitions Notational...
Ngày tải lên: 15/03/2014, 02:20
Interest Rate Swaps and Economic Exposure potx
... exchange rate shock, an exposed firm chooses short- term (long-term) debt together with fixed-for-floating (floating-for-fixed) interest rate swaps. Given interest rate expectations, interest rate swaps ... rationale for their use of interest rate swaps since these firms are leading users of interest rate swaps 3 . 1 These are aggregate global figures for inter...
Ngày tải lên: 15/03/2014, 14:20
Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity potx
... high interest rates in the emerging market, then with unrestricted inflows there is expected to be a decline in interest rates. Hence, the net impact of liberalization on emerging market interest ... low interest rates and liberalization was accompanied by domestic financial deregulation and/or increased freedom of emerging market residents to invest abroad, then domestic interes...
Ngày tải lên: 06/03/2014, 14:20
The Role of Interest Rate Swaps in Corporate Finance doc
... an interest rate swap than to call and refund outstanding fixed -rate debt. 4. A COMPARISON OF INTEREST RATE FUTURES AND INTEREST RATE SWAPS A discussion of the economic role of interest rate swaps ... of Interest Rate Swaps 65 The principal disadvantage of interest rate swaps relative to interest rate futures lies with counterparty credit risk. Exchange-tr...
Ngày tải lên: 22/03/2014, 17:20
Limits on Interest Rate Rules in the ISModel potx
... the time it sets the interest rate. Inflation Targets with an Interest Rate Rule It is relatively easy to use (14) to characterize the conditions under which an interest rate rule can implement ... current inflation by the form of its interest rate rule. 21 Price-Level Targets with an Interest Rate Rule There is a somewhat more complicated solution when an interest rate...
Ngày tải lên: 06/03/2014, 02:21
The Interest Rate Conditioning Assumption∗ potx
... on short-term interest rates) to a “two-instrument regime” (operating on both short-term interest rates and future interest rate expec- tations) might allow the central bank to vary the short-term rate less ... or one-month interest rate that mainly affects the economy, but the longer-term expected time path of interest rates. Surely any such surprise will affect future expected...
Ngày tải lên: 06/03/2014, 02:21
Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... term structure of interest rates and of credit default swaps (CDS’s). Moreover, the model retains free dynamics parameters that can be used to calibrate option data, such as caps for the interest rate market ... evaluation with the interest rate model that is used for default-free derivatives. This separate automatic calibration no longer holds if we introduce ρ, since now the dyn...
Ngày tải lên: 06/03/2014, 04:21
REGULATION OF INTEREST RATE BY THE STATE BANK OF VIETNAM (SBV) potx
... SBV can set up Interest rate corridor in which ceiling rate is refinance rate and floor rate is above deposit rate. Market interest rate is fluctuated around open market interest rate. SBV will ... does not increase the deposit interest rate, the net interest rate may be negative (interest rate < inflation rate) . Therefore, in the year 2004, the increase r...
Ngày tải lên: 15/03/2014, 01:20