The Valuation of US Dollar Interest Rate Swaps PDF Download

Author: Julian Alworth
Publisher:
ISBN:
Category : Dollar, American
Languages : en
Pages : 50

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Author: Carl R. Beidleman
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 550

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Book Description
This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.

Author: Julian Alworth (Ökonom.)
Publisher:
ISBN:
Category :
Languages : en
Pages : 45

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Author:
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 434

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Author:
Publisher:
ISBN:
Category : Currency swaps
Languages : en
Pages : 652

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Author: Brian Coyle
Publisher: Global Professional Publishi
ISBN: 9780852974360
Category : Business & Economics
Languages : en
Pages : 144

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Book Description
� Fully updated version of text formerly used for training by BPP � Diagrammatic representation of deal structures, pricing, and modeling � Full glossary of terms � International perspective, examples in US$ � Clear logical explanation of processes, markets, and products Here is an excellent introduction to equity, commodity, and credit swaps. The text describes the evolution of this financial instrument and the present day importance it has in debt and interest rate risk management. It examines the features of currency swaps and the process by which the counterparties reach agreement. Through practical examples it illustrates the role of banks and explains swaps pricing and the value of a swap. This expansive new range of risk management texts has undergone extensive re-writing to give each book in the series an international perspective. Each explains and analyses core aspects of risk assessment and management in a way invaluable to students and useful to practitioners. All of these titles adopt a practical and clear approach to their subject. All are fully updated versions of a series of books previously produced by training experts at BPP.

Author: Bernadette A. Minton
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The structure of a plain vanilla interest rate swap is such that its cash flows can be replicated by a portfolio of two bonds or by a portfolio of short-term interest rate futures contracts. Swap pricing, therefore, should be closely related to the pricing of these underlying instruments. This paper estimates the determinants of U.S. dollar swap spreads to test whether the pricing relationships between swaps, bonds and futures hold. Swap spreads are positively related to interest rate volatility and the corporate quality spread, and negatively related to the term spread and level of the interest rate. Short-term over-the-counter swap rates are highly correlated with swap rates calculated using Eurodollar futures prices. While exchange-traded implied swap spreads are statistically related to yield curve factors, they are not related to corporate quality spreads. Overall, the results in this paper suggest that swaps are not equivalent to portfolios of bonds or futures contracts due in part to the differences in the credit risk in each instrument.

Author: Ravi E. Dattatreya
Publisher: McGraw-Hill Companies
ISBN:
Category : Business & Economics
Languages : en
Pages : 504

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Book Description
This book analyzes and integrates the latest developments in this rapidly changing fields. Chapters by financial officers at major corporations such as Rolls Royce, PepsiCo, United Technology and Siemens Electronics further enhance the value of this truly unique book. Topics include: New products, such as indexed and cross-rate swaps; Managing swap credit risk; Liability hedging using swaps; Risk management at major corporations; Financial risk management for developing countries.

Author: Ravi E. Dattatreya
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 264

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Book Description
"The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Author: Mary S. Schaeffer
Publisher: McGraw Hill Professional
ISBN: 9780070390201
Category : Business & Economics
Languages : en
Pages : 334

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Book Description
Shows what goes on in the daily operations of large Swap dealers and on the corporate user side as well. Highlights the potential trouble spots government regulators are zeroing in on. Shows how to master all the methodologies used in the international Swap market.