publication . Other literature type . Part of book or chapter of book . Article . 2017

Interest rate swaps: An empirical investigation

Tong-sheng Sun; Suresh Sundaresan; Ching Wang;
  • Published: 20 Jan 2017
  • Publisher: Elsevier BV
Abstract
One of the major innovations in the financial markets has been the interest rate swap. This instrument is a derivative product that was introduced into the financial markets in the early 1980s. Interest rate swaps were first used to try to arbitrage opportunities in global capital markets. While those arbitrage opportunities quickly disappeared, the interest rate swap market continued to grow. Today, this derivative instruction provides asset managers, risk managers, corporate treasurers, and municipal treasurers with an efficient tool for controlling interest rate risk by altering the cash flow characteristics of their assets or liabilities. Keywords: interest ...
Subjects
ACM Computing Classification System: Software_OPERATINGSYSTEMSHardware_MEMORYSTRUCTURES
free text keywords: interest rate risk, standard interest rate swap, non-standard interest rate swaps, Business, Fixed interest rate loan, Hedge fund, business.industry, Swap (finance), Interest rate, media_common.quotation_subject, media_common, Notional amount, Yield curve, Monetary economics, Interest rate derivative, Interest rate swap, Strategy and Management, Economics and Econometrics, Accounting, Finance, Basis swap, Economics, Credit default swap index, Overnight indexed swap, Financial economics, Conditional variance swap, Variance swap, Constant maturity swap, Swaption, Commodity swap, Financial system, Foreign exchange swap, Trading strategy, Volatility (finance), Econometrics, Capital market, Derivative (finance), Education, Audit, Hedge accounting, Throughput accounting, Actuarial science, Management accounting, Financial accounting, interest rate risk, standard interest rate swap, non-standard interest rate swaps, Economics as a science, HB71-74, jel:E43, jel:F31
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publication . Other literature type . Part of book or chapter of book . Article . 2017

Interest rate swaps: An empirical investigation

Tong-sheng Sun; Suresh Sundaresan; Ching Wang;