What determines U.S. swap spreads? / / Adam Kobor, Lishan Shi, Ivan Zelenko

• Autore: Kobor Adam
• Pubblicazione: Washington, D.C. : , : World Bank, , c2005
• Descrizione fisica: vii, 47 pages : illustrations ; ; 26 cm
• Disciplina: 332.64/57/0973
• Soggetto topico: Swaps (Finance) - United States; Interest rates - Mathematical models
• Altri autori: ShiLishan ZelenkoIvan
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; Abstract; Acknowledgments; 1. Introduction; 2. A priori Determinants; LIST OF BOXES; LIST OF FIGURES; 3. Previous Empirical Works; 4. Methodology and Modeling; LIST OF TABLES; 5. Results; 6. Conclusion; References
• Sommario/riassunto: This title examines the evolution of the U.S. interest swap market. It reviews the theory and past empirical studies on U.S. swap spreads and estimates an error correction model for maturities of 2-, 5- and 10-year over the period 1994-2004. Financial theory depicts swaps as contracts indexed on LIBOR rates, rendered almost free of counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component) and a liquidity convenience premium present in Treasury rates (liquidity component). Multifactor models which were estimated on observ
• Titolo autorizzato: What determines U.S. swap spreads
• ISBN: 1-280-16889-7; 9786610168897; 0-8213-6339-5
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910819777703321
• Lo trovi qui: Univ. Federico II
• Serie: World Bank e-Library.