Interest rate modeling and the risk premiums in interest rate swaps
著者
書誌事項
Interest rate modeling and the risk premiums in interest rate swaps
（The Research Foundation of AIMR and Blackwell series in finance）
Research Foundation of the Institute of Chartered Financial Analysts , Blackwell, 2000
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注記
Includes bibliographical references (p. 38-40)
"Reissued in new format by Blackwell 2000"
内容説明・目次
内容説明
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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