We investigate the determinants of US swap spreads based on the development of the swap market and the major events that happened between 1991 and 2006. We find that changes in swap spreads are jointly determined by the liquidity premium, interest rate level, default risk premium and the...

The variable annuity market in Japan is still young, but growing rapidly. Most variable annuities in Japan are sold with one or more investment guarantees, such as a Guaranteed Minimum Maturity Benefit (GMMB), which guarantees that the ultimate annuity principal will not fall below a pre-set...