Search Results - subject_exact:"Swaps"

Effective strategies for managing market risks in Small and Medium-Sized Enterprises(SMEs)

Abdusalomova, Nodira B.; Omonov, Sherdor O.; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637795

Forecasting inflation : a comparison of the ECB's short-term inflation projections and inflation-linked swaps

Anttonen, Jetro; Laine, Olli-Matti - 2024

According to the efficient-market hypothesis, forecasts derived from efficient market prices should be unbeatable. However, numerous institutions, including the European Central Bank, regularly publish forecasts for future inflation that deviate from market expectations. We investigate the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015101910

The market liquidity of interest rate swaps

Boudiaf, Ismael Alexander; Frieden, Immo; Scheicher, Martin - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441867

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The market liquidity of interest rate swaps

Boudiaf, Ismael Alexander; Frieden, Immo; Scheicher, Martin - 2024

Book / Working Paper

Transfer learning of discount curves between bonds and swaps : an empirical study

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609770

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - 2026

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse-affine components in the instantaneous volatility...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638992

Term funding premium - time is money after all

Ramaswamy, Srini; Searls, Seth; De Vere, Hugo; Ozil, Ipek - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653662

Geopolitics of central bank foreign exchange swap line networks

Horváth, Marcell - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635682

CIP violations as functional components of the dynamic cross-currency basis curve

Borner, David; Sorg, Heiko - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672534

The swaps index for consumer choice

Lu, Mia; Mononen, Lasse; Netzer, Nick - 2026 - This version: August 2026

We extend the swaps index of rationality, introduced by Apesteguia and Ballester (2015) for a finite set of alternatives, to the standard infinite consumer choice setting in which other rationality indices are typically defined. We show that the swaps approach recovers the decision-maker's true...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064263

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The swaps index for consumer choice

Lu, Mia; Netzer, Nick - 2022

Book / Working Paper

The swaps index for consumer choice

Lu, Mia; Mononen, Lasse; Netzer, Nick - 2026 - This version: August 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064263

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The swaps index for consumer choice

Lu, Mia; Netzer, Nick - 2022

Book / Working Paper

Existing cooperation mechanisms of BRICS countries : a case study of the new development bank and currency swap agreements

Yu, Poshan; Zhang, Yupian; Wang, Yansong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651726

Intermediation in US and EU bond and swap markets : stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020

Scheicher, Martin - 2023

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and trade the instruments with smaller or less active firms, in part by using their own balance sheets for inventory holding or hedging purposes. The reforms carried out in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014460615

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Intermediation in US and EU bond and swap markets: Stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020

Scheicher, Martin - 2023

Book / Working Paper

Eurozone: central bank swap to Sweden, 2007

Gupta, Salil - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014384457

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Eurozone : Central Bank Swap to Sweden, 2007

Gupta, Salil - 2023

Book / Working Paper

A note on battery swapping policies in the electric vehicle routing problem with time windows and battery swapping vehicles

Çatay, Bülent; Sadati, İhsan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015543042

Scandinavia: central bank swaps to Iceland, 2008

Hoffner, Benjamin - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014384477

Inland electric ship battery swapping station selection and swapped battery quantity optimisation

Guo, Siqing; Wang, Yubing; Yue, Mingyuan; Dai, Lei; Hu, Hao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059715

Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619005

Hedging, market concentration and monetary policy : a joint analysis of gilt and derivatives exposures

Pinter, Gabor; Walker, Danny - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014373716

Derivative Finanzinstrumente : anwendungsorientierte Einführung in Optionen, Futures und Swaps

Gallus, Christoph; Schmidt, Martin - 2026 - 5., überarbeitete und aktualisierte Auflage 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556608

Dollar funding fragility and non-U.S. global banks

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015546278

The impact of yield curve control under different regimes on Japanese Government Bonds and swap markets in the super long term

Ito, Takayasu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371247

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330343

Market-oriented-debt-to-equity swap, corporate social responsibility and earnings management

Ma, Binfeng; Di, Qing; Fu, Maozheng - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330746

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333448

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - 2025

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334597

Analytical model and swapping policy assessment of a vertical lift module : buffer integrated storage system

Marolt, Jakob; Sgarbossa, Fabio; Jimenez, Jesus; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015422130

Exploring strategies to support net-zero emission transitions through battery swapping industry development

Setiawan, Andri Dwi; Riskiyadi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015447256

Deployment and pricing strategies for different generations of battery swap stations

Zhang, Yudi; Zhi, Bangdong; Wang, Xiaojun; Shen, Yang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407680

Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations

Esparcia, Carlos; Jareño, Francisco; Navarro Arribas, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015461783

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - 2025

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445622

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Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - 2023

Book / Working Paper

Skewed Interest Rate Expectations and Effects of Central Banks' Market Operations : Empirical Findings Using Granular Transaction Data

Maehashi, Kohei; Miyakawa, Daisuke; Sasaki, Takatoshi; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015425153

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2025 - Original version: October 2022, this version: August 2025

Using Credit Default Swap spreads, we construct and validate a forward-looking, market-implied carbon risk (CR) factor that captures how lenders price firms’ exposure to carbon regulation. The credit-risk impact of carbon regulation depends on its scope (breadth of coverage), stringency (share...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015608383

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Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023

Book / Working Paper

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

New roles in central bank cooperation : towards a global liquidity backstop

Spielberger, Lukas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015551492

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2025 - Original version: October 2022, this version: August 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015608383

Show 3 more versions 3

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023

Book / Working Paper

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

The market price of jump risk for delivery periods : pricing of electricity swaps with geometric averaging

Kemper, Annika; Schmeck, Maren Diane - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015526414

Discounted-likelihood valuation of variance and volatility swaps

Rujeerapaiboon, Napat; Sanae Rujivan; Chen, Hongdan - 2025

The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral price, especially when the price has to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573691

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Discounted-Likelihood Valuation of Variance and Volatility Swaps

Rujeerapaiboon, Napat; Rujivan, Sanae; Chen, Hongdan - 2023

Book / Working Paper

Lost in the LIBOR transition

Backwell, Alex; Macrina, Andrea; Schlögl, Erik; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534047

Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19 : an application of the swap variance jump approach

Zada, Hassan; Ullah, Mirzat; Kazi Sohag - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331020

Enhanced transparency on single-name credit default swaps : a comparison between the United States and the European Union

Priem, Randy - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333832

The Term Structure of Covered Interest Rate Parity Violations

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2022

This working paper was written by Patrick Augustin (McGill University and Canadian Derivatives Institute), Mikhail Chernov (University of California Los Angeles, NBER and CEPR), Lukas Schmid (University of Southern California and CEPR) and Dongho Song (Johns Hopkins University).We show...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013492075

The market liquidity of interest rate swaps

Boudiaf, Ismael Alexander; Frieden, Immo; Scheicher, Martin - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564468

Macroeconomic drivers of inflation expectations and inflation risk premia

Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339143

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Macroeconomic drivers of inflation expectations and inflation risk premia

Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2024

Book / Working Paper

Analysis of the two-for-one swap heuristic for approximating the maximum independent set in a k-polymatroid

Calinescu, Adrian; Călinescu, Gruia - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358615

Forecasting inflation: A comparison of the ECB's short-term inflation projections and inflation-linked swaps

Anttonen, Jetro; Laine, Olli-Matti - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015110226

Credit default swaps and borrowers' real earnings management : evidence from credit default swap initiation

Wang, Yuxuan; Fang, Ruirui; Hu, Nan; Huang, Rong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358628

Central Banks Casting a Global Financial Safety Net : What Drives the Supply of Bilateral Swaps?

Koosakul, Jakree - 2024

The expansion of bilateral swap arrangements (BSAs) since the Global Financial Crisis has led to a substantial reconfiguration of the Global Financial Safety Net (GFSN). This paper examines the drivers of BSA supply using a novel dataset on all publicly documented BSAs. It finds that countries...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015058481