Search Results - subject:"asset-swap"

The dynamics of rating based credit benchmark curves

Heidorn, Thomas; Schlamann, Sara - 2022

. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW …

Persistent link: https://www.econbiz.de/10013257636

The dynamics of rating based credit benchmark curves

Heidorn, Thomas; Schlamann, Sara - 2022

. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW …

Persistent link: https://www.econbiz.de/10013207136

A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank Review (CBR) 21 (2021) 2, pp. 49-57

banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia …

Persistent link: https://www.econbiz.de/10014547715

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57

Persistent link: https://www.econbiz.de/10012592021

A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads

Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020

Persistent link: https://www.econbiz.de/10012939794

Demystifying the US Treasury floating rate note puzzle : a swap market perspective

Ahn, Jungkyu; Ahn, Yongkil - In: Finance research letters 50 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10014245417

Using a blockchain-based approach to exchange (financial) assets

Modsching, Marko; Apfelbacher, Axel; Horch, Johann; … - In: Journal of digital banking 2 (2017/2018) 2, pp. 110-122

Persistent link: https://www.econbiz.de/10011774591

Fixed income strategies for trading and for asset management

Tinschert, Jonas; Cremers, Heinz - 2012

swap spread acts as the major tool to make investment decisions and after the bonds are purchased, an asset swap hedge will … are used to calculate an accurate price level. Interpolation is an essential tool to do this. For treasurers, the asset …

Persistent link: https://www.econbiz.de/10010310469

Fixed income strategies for trading and for asset management

Tinschert, Jonas; Cremers, Heinz - Frankfurt School of Finance and Management - 2012

Persistent link: https://www.econbiz.de/10010957473

State Aid and Bank Intervention: The ING Illiquid Assets Back-up Facility (IABF)

van Wijnbergen, Sweder; Treur, Leontine - 2011

The ING Illiquid Assets Back-up Facility announced January 2009 was a SWAP-based insurance to reduce ING’s exposure to Alt-A related risk. Did the deal involve state aid? Usingmarketprices to evaluate the SWAP directly is impossible because markets for Alt-A based CDOs had collapsed. We...

Persistent link: https://www.econbiz.de/10010326480