𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The interest rate swap: Theory and evidence

✍ Scribed by Kent T Saunders


Book ID
117629517
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
120 KB
Volume
5
Category
Article
ISSN
0929-1199

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The components of interest rate swap spr
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## Abstract This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed swap rate and the risk‐free rate of equal maturity. The components are determined by expected LIBOR spreads, default risk, and m