Essays about: "SEK swap spread"

Found 4 essays containing the words SEK swap spread.

  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. A study of the determinant factors of the Swedish interest rate swap spread

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christina Hu; [2019]
    Keywords : Interest rate swap contracts; SEK swap spread; slope of the yield curve; credit spread; treasury supply;

    Abstract : This study aims to find the driving determinant factors of the Swedish swap spread by identifying the potential determinants based on previous theoretical and empirical studies. The determinant factors studied in this paper are the slope of the yield curve, volatility, the credit spread, the treasury supply, the business cycle, and the Euro spread. READ MORE

  4. 3. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Robert Constantin; Denis Gerzic; [2018]
    Keywords : Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Abstract : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. READ MORE

  5. 4. Drivers of Swedish Swap Spreads

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Edward; Erik Willers; [2007]
    Keywords : Interest rate swap; Swap Spread; Sweden;

    Abstract : According to a survey carried out by Bank of international settlements (BIS) and published by the Swedish Riksbank, the average turnover in Swedish interest rate swaps totaled almost SEK 20 billion per day in 2004. The International Swaps and derivatives association (ISDA) reported that the notional outstanding amount of privately negotiated (over the counter) derivatives at the end of 2004 was over $164 trillion around the world compared to the $31 trillion aggregated principal of all the worlds’ bond markets taken together. READ MORE