The Impact of Collateralization on Swap Rates  

Oleh:

Johannes, Michael ; Sundaresan, Suresh M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 1 (Feb. 2007), page 383-410.
Topik: IMPACT; interest rate swaps; stock prices; valuation; collateral; studies
Fulltext: p 383.pdf (256.57KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Interest rate swap pricing theory traditionally views swaps as a portfolio of forward contracts with net swap payments discounted at LIBOR rates. In practice, the use of marking - to - market and collateralization questions this view as they introduce intermediate cash flows and alter credit characteristics. We provide a swap valuation theory under marking - to - market and costly collateral and examine the theory's empirical implications. We find evidence consistent with costly collateral using two different approaches, the first uses single - factor models and Eurodollar futures prices, and the second uses a formal term structure model and Treasury / swap data.

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