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ArticleInterest rate swaps

Tong-sheng Sun1993

Article1993

Interest rate swaps

Tong-sheng Sun · Suresh M. Sundaresan · Ching Wang

126 citations·0/0 files stored·Journal of Financial Economics

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Asset pricing and the bid-ask spread 1982Trends and random walks in macroeconmic time series 1980An Analysis of Variable Rate Loan Contracts 1984Term premiums in bond returns 1989Managing Financial Risk 1983A comparison of futures and forward prices 1991The Default Risk of Swaps 1986An Economic Analysis of Interest Rate Swaps

Cited by

2007The Impact of Collateralization on Swap Rates 2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market 1997An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps 2001Market Discipline and Subordinated Debt: A Review of Some Salient Issues 1998An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps 2001Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom

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2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreadspreprint · 3 shared references 1998Determinants of interest rate swap spreadsarticle · 3 shared references 1996Default risk and derivative productsarticle · 3 shared references 1999Modelling the French Swap Spreadpreprint · 3 shared references 2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks*article · 2 shared references 1992Swaps: Plain and Fancifularticle · 2 shared references

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Year1993

Typearticle

Published1993-08-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations126

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/0304-405x(93)90041-9

openalex_workW1558567973

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2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

2000Modeling Term Structures of Swap Spreads