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Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR |
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Binding: Paperback
Dewey Decimal Number: 332.82011
EAN: 9780943205380
ISBN: 0943205387
Label: Research Foundation of AIMR & Blackwell Publishers
Manufacturer: Research Foundation of AIMR & Blackwell Publishers
Number Of Items: 1
Number Of Pages: 48
Publication Date: 2001-01
Publisher: Research Foundation of AIMR & Blackwell Publishers
Studio: Research Foundation of AIMR & Blackwell Publishers
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Product Description:
This monograph addresses the return side of the decision to use interest rate swaps or other interest-rate-contingent claims. Because the economic costs of decisions related to a company's policies toward debt maturities are important to stock price performance, the analysis in this monograph has practical implications for investment analysts. Brooks demonstrates how an at-the-market swap with a risk premium can have a significant impact on the expected return from using the swap.
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