Essays about: "Swedish Government benchmark bond"

Found 2 essays containing the words Swedish Government benchmark bond.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    University essay from Göteborgs universitet/Graduate School

    Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

  3. 2. Determinants of Swedish Covered Bond Spreads

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Fredriksen; Walter Minehuber; [2012]
    Keywords : Covered bonds; bond spreads;

    Abstract : We analyze covered bonds issued by all major financial Swedish institutions. Based on theoretical considerations we deduce a linear regression model of bond spreads where the benchmark is the government curve, and the swap curve. READ MORE