Relevant bibliographies by topics / Swap quotes

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Reports

Academic literature on the topic 'Swap quotes'

Author: Grafiati
Published: 28 May 2022
Last updated: 30 July 2025

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Journal articles on the topic "Swap quotes"

1

Bai, Jennie, and Liuren Wu. "Anchoring Credit Default Swap Spreads to Firm Fundamentals." Journal of Financial and Quantitative Analysis 51, no. 5 (2016): 1521–43. http://dx.doi.org/10.1017/s0022109016000533.

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In this article, we examine the extent to which firm fundamentals can explain the cross-sectional variation in credit default swap (CDS) spreads. We construct a fundamental CDS valuation by combining the Merton distance-to-default measure with a long list of firm fundamentals via a Bayesian shrinkage method. Regressing CDS quotes against the fundamental valuation cross-sectionally generates an averageR2of 77%. The explanatory power is stable over time and robust in out-of-sample tests. Deviations between market quotes and the valuation predict future market movements. The results highlight the
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2

MICHIELON, MATTEO, ASMA KHEDHER, and PETER SPREIJ. "FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS." International Journal of Theoretical and Applied Finance 24, no. 03 (2021): 2150017. http://dx.doi.org/10.1142/s0219024921500175.

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Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid-CDS quotes are used as inputs, as their risk-neutral counterparts are not observable. We show how to imply risk-neutral default probabilities from bid and ask quotes directly by means of formulating the CDS calibration problem to bid and ask market quotes within the conic finance framework. Assuming the risk-neutral distribution of the default time to be driven by a Poisson process we prove, under mild liquidity-related assumptions, that the calibration problem admits a unique solut
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3

Laghi, Enrico, Michele Di Marcantonio, and Eugenio D'Amico. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case." FINANCIAL REPORTING, no. 2 (March 2015): 59–81. http://dx.doi.org/10.3280/fr2014-002003.

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The aim of this paper is to define a model for estimating the theoretical Credit Default Swap spread of European banks considering firms' accounting data, market quotes, official ratings and macroeconomic variables. We detect a significant log-linear relation between Credit Default Swaps spreads and four explanatory variables determined on the basis of the stock price, the financial structure, the equity composition, the incidence of the reserve for loan losses on total loans, the official ratings and macroeconomic indicators of the country of domicile of each company. The empirical results sh
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Eom, Young Ho, and Woon Wook Jang. "The Variance Swaps based on KOSPI200 Index and the Term Structure of Variance Risk Premium." Journal of Derivatives and Quantitative Studies 21, no. 4 (2013): 435–63. http://dx.doi.org/10.1108/jdqs-04-2013-b0004.

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This study examines whether the variance risk is a priced risk factor in Korea using the over-the-counter variance swap quotes and realized variance data. We also study the term structure of variance risk premium. The empirical results show that the model with 2 stochastic variance risk factors with jumps in return is required to fit the variance swap and realized variance data. The analyses with the estimated models suggest that the variance risk premium in Korea are highly negative and the size of the premium increase with the maturities, meaning that risk averse investors in Korea are willi
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Novák, Zsuzsanna, and Nikolett Sereg. "Hungarian forint FX swap spreads during and beyond crisis times." JOURNAL OF INTERNATIONAL STUDIES 15, no. 1 (2022): 26–46. http://dx.doi.org/10.14254/2071-8330.2022/15-1/2.

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Incentivised by a wide range of research discussing mispricing in USD related swap markets, the paper aims at discovering the factors contributing to the deviation of the 3-month FX swap points in the EURHUF and USDHUF market from their CIP based values primarily between the period January 2008 and December 2018 and with an extension to the end of 2021 using daily and monthly Bloomberg quotes. The period examined can be divided into three plus one subperiods as concerns FX swap spreads, largely determined by the effects of the global financial crisis and the volume of FX loans. Apart from the
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Giribone, Pier Giuseppe, and Duccio Martelli. "Deep Learning for seasonality modelling in Inflation-Indexed Swap pricing." Risk Management Magazine 16, no. 3 (2021): 54–69. http://dx.doi.org/10.47473/2020rmm0099.

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An Inflation-Indexed Swap (IIS) is a derivative in which, at every payment date, the counterparties swap an inflation rate with a fixed rate. For the calculation of the Inflation Leg cash flows it is necessary to build a mathematical model suitable for the Consumer Price Index (CPI) projection. For this purpose, quants typically start by using market quotes for the Zero-Coupon swaps in order to derive the future trend of the inflation index, together with a seasonality model for capturing the typical periodical effects. In this study, we propose a forecasting model for inflation seasonality ba
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TEE, CHYNG WEN, and JEROEN KERKHOF. "A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS." International Journal of Theoretical and Applied Finance 24, no. 04 (2021): 2150026. http://dx.doi.org/10.1142/s0219024921500266.

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Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market model to incorporate both swaptions and constant maturity swaps (CMS) pricing under a single, self-consistent framework. We demonstrate that the model is able to calibrate to market quotes well, and is also able to efficiently price both IRR-settled and swap-settled swaptions, along with CMS products. We
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8

Acharya, Viral V., Stephen Schaefer, and Yili Zhang. "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005." Quarterly Journal of Finance 05, no. 02 (2015): 1550006. http://dx.doi.org/10.1142/s2010139215500068.

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The deterioration in credit quality of General Motors (GM) and Ford to junk status in the spring of 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced by a significant imbalance in their quotes towards sales. We find that simultaneously there was a substantial increase in the co-movement between innovations in the credit default swap (CDS) spreads of GM and Ford and those of firms in all other industries, the increase being the greatest during the
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Gubareva, Mariya, and Maria Rosa Borges. "Interest rate, liquidity, and sovereign risk: derivative-based VaR." Journal of Risk Finance 18, no. 4 (2017): 443–65. http://dx.doi.org/10.1108/jrf-01-2017-0018.

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Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops the historical derivative-based value at risk (VaR) for assessing the downside risk of a sovereign debt portfolio through the integrated treatment of interest rate and credit risks. The credit default swaps spreads and the fixed-leg rates of interest rate swap are used as proxies for credit risk and int
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BRIGO, DAMIANO, NICOLA PEDE, and ANDREA PETRELLI. "MULTI-CURRENCY CREDIT DEFAULT SWAPS." International Journal of Theoretical and Applied Finance 22, no. 04 (2019): 1950018. http://dx.doi.org/10.1142/s0219024919500183.

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Credit default swaps (CDS) on a reference entity may be traded in multiple currencies, in that, protection upon default may be offered either in the currency where the entity resides, or in a more liquid and global foreign currency. In this situation, currency fluctuations clearly introduce a source of risk on CDS spreads. For emerging markets, but in some cases even in well-developed markets, the risk of dramatic foreign exchange (FX)-rate devaluation in conjunction with default events is relevant. We address this issue by proposing and implementing a model that considers the risk of foreign
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Dissertations / Theses on the topic "Swap quotes"

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Марчук, В. П. "Кредитно-дефолтні свопи (CDS), як спекулятивний інструмент та показник вимірювання ризику дефолту". Thesis, Українська академія банківської справи Національного банку України, 2009. http://essuir.sumdu.edu.ua/handle/123456789/56915.

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CDS - похідний цінний папір базовим активом для якого може бути будь-яке боргове зобов'язання. Котирування CDS по зовнішним державним облігаціям дає можливість використовувати їх для оцінки спроможності держав виконувати зовнішні зобов'язання.<br>CDS - derivative security reference asset for which can be any debt. Quotes CDS on external government bonds makes it possible to use them for assessing the ability of States to comply with external obligations
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Chiang, Po-I., and 江柏逸. "An Empirical Investigation of Quoted Spreads for NTD Interest Rate Swaps." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/73549513182384800337.

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碩士<br>輔仁大學<br>金融研究所<br>94<br>The interest rate swap market is now represents one of the major portions of the derivative market. Although the instrument appeared in Taiwan in 1993, interest rate swaps have gown into a market with volume estimated NTD15,008 billion at the end of 2005. With the dramatic growth in volume has come concern about the empirical research on Taiwan interest rate swap market. 　　Quoted spread is an issue of major concern to market participants. Academic research on interest rate swap concentrated on the pricing of interest rate swap contracts, the features with the users
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Books on the topic "Swap quotes"

1

Art, B. L. Caticorn Coloring Book for Girls: Fun with Cats or Cat Unicorn Pictures with Quotes for Kids Coloring, Cute and Unique. Size 8. 5 X11 with 77 Pages and Swap Blank. Independently Published, 2021.

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Pui, Rungnapa. Caticorn Coloring Book for Girls: Fun with Cats or Cat Unicorn Pictures with Quotes for Kids Coloring, Cute and Unique. Size 8. 5 X11 with 77 Pages and Swap Blank. Independently Published, 2021.

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Pretty, Nutty. Caticorn Coloring Book for Kids: Fun with Cats or Cat Unicorn Pictures with Quotes for Kids Coloring, Cute and Unique. Size 8. 5 X11 with 77 Pages and Swap Blank Page. Independently Published, 2021.

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4

Happy Easter Coloring Book for Kids: Fun and Enjoy with 40 Unique and Beautiful Easter Coloring Pages and Picture Quotes, Size 8. 5 X11 and Swap Pages. for Drawing or Writing. Independently Published, 2021.

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S, Anurak. Forest Animals Coloring Book for Kids: Enjoy 40 Cute Animals' Pictures with Quotes for Kids Coloring, Cute and Unique. Size 8. 5 X11 with 81 Pages. Swap Blank Page for Coloring or Drawing. Independently Published, 2021.

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S, Anurak. Caticorn Coloring Book for Kids: Fun with Cats or Cat Unicorn Pictures with Quotes for Kids Coloring, More Than 30 Images Cute and Unique. Size 8. 5 X 11 with 77 Pages and Swap Blank. Independently Published, 2021.

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7

Paxman, Andrew. Enterprise, Profiteering, and the Death of the Golden Age. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190455743.003.0010.

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Under Presidents Alemán and Ruiz Cortines, Jenkins’s exhibition empire resisted attempts to rein it in, while Golden Age cinema died a slow death. Now in his seventies, Jenkins became a missionary capitalist, offering financing to friends. But his main activities were rent-seeking. He declared bankruptcy at his largest mills and used the ploy to sack workers and renege on company debts. In cinema his hegemony prompted a 1949 Film Law that promised screen quotas for Mexican films. Hollywood and Jenkins conspired to derail the quota. A second assault, in 1953, threatened expropriation and increa
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Always Be Yourself Unless You Can Be a Swan Then Be a Swan: Inspirational Quotes and Tips for Positive Thinking. Independently Published, 2020.

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Always Be Yourself Unless You Can Be a Swan Then Be a Swan: Inspirational Quotes and Tips for Positive Thinking. Independently Published, 2020.

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Always Be Yourself Unless You Can Be a Swan Then Be a Swan: Inspirational Quotes and Tips for Positive Thinking. Independently Published, 2020.

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Book chapters on the topic "Swap quotes"

1

Segal, Sheldon J., and Luigi Mastroianni. "Should aging men use nonprescription androgens?" In Hormone Use in Menopause & Male Andropause. Oxford University PressNew York, NY, 2003. http://dx.doi.org/10.1093/oso/9780195159745.003.0018.

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Abstract Barry Bonds wiped out Mark McGwire’s home run record just three years after it was set. Muscle Builder magazine would be thrilled to have either one of them on its cover. Spindle-legged and paunchy Babe Ruth reigned as Sultan of Swat for 34 years before lanky Roger Maris unseated him in 1961. The Maris record held for 37 years. When Bonds was heading toward his record 73 home runs, a baseball league official, concerned about the possible use of steroids by players to build greater muscle mass, is quoted as saying, “Look at these guys. Look at their arms, their upper bodies, their thig
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Matthews, John O. "Market Making, Proprietary Trading, and Derivatives." In Struggle and Survival on Wall Street. Oxford University PressNew York, NY, 1994. http://dx.doi.org/10.1093/oso/9780195050639.003.0011.

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Abstract The major dealer markets are the market for U.S. Treasury securities, the market for corporate bonds, the municipal bond market, the OTC (over-the-counter) market for corporate stock, and the market for asset-backed securities, swaps, and derivatives. Dealers in these markets make bid and offer quotes, and take inventory positions in securities. However, differences among securities lead to important differences in the way that dealers carry out their market-making functions (Garbade 1982, pp. 429-30). In the Treasury market, there are several hundred issues, each on the order of bill
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Armor, David J. "Desegregation Policy and the Law." In Forced Justice. Oxford University Press, 1995. http://dx.doi.org/10.1093/oso/9780195090123.003.0005.

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Between the landmark Brown v. Board of Education decision in 1954 and Supreme Court decisions in 1991 and 1992, civil rights laws and policies, especially those affecting schools, have undergone dramatic transformations and fluctuations. After the elegantly straightforward but unprecedented principles propounded in Brown, which have not been seriously challenged in their application to schools, the Court entered what might be called the conceptual swamp of remedy. In a series of major school desegregation decisions during the 1970s, the Supreme Court grappled with a host of complex legal issue
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Reports on the topic "Swap quotes"

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Naddafi, Rahmat, Göran Sundblad, Alfred Sandström, et al. Developing management goals and associated assessment methods for Sweden’s nationally managed fish stocks : a project synthesis. Department of Aquatic Resources, Swedish University of Agricultural Sciences, 2023. http://dx.doi.org/10.54612/a.31cfjep2i0.

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This report summarizes and synthesizes results from the Swedish Agency of Marine and Water Management (SwAM, or HaV) funded project “Förvaltningsmål för nationella arter (Management goals for nationally managed species)”. The objectives of the project have been to promote the development of management goals and associated status assessment methods and indicators, as well as reference points, for some nationally managed fish stocks both in coastal as well as freshwater areas. The report focusses largely on species and stocks that can be defined as data-poor. Such stocks are characterised by mar
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