Interest Rate Swaps Clearing and Systemic Risk
نویسندگان
چکیده
منابع مشابه
Interest Rate Swaps: a Managerial Compensation Approach
The market for interest rate swaps has grown consistently since its inception. Swaps involve “swapping” fixed interest rate debt for variable rate debt. We explain this growth using a game theoretic model. We focus on managerial and owner compensation differences under swaps and open market restructuring. We conclude that swaps occur because the swap market incorporates information about the fi...
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Acknowledgements I would like to thank Graeme West and Hardy Hulley for all their help, and especially Dr. West for the many consultations, as well as for providing me with his bootstrapping code. Thanks also to Shaun Barnarde of SCMB for providing the historical data.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3516048