Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps(The Research Foundation of AIMR and Blackwell Series in Fina
発行年月 |
2000年11月 |
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| 出版社/提供元 |
Research Foundation of the Ass. for Investment Management & Research |
出版国 |
アメリカ合衆国 |
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言語 |
英語 |
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媒体 |
冊子 |
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装丁 |
paper |
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ページ数/巻数 |
48 p. |
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ジャンル |
洋書 |
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ISBN |
9780943205380 |
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商品コード |
0200040822 |
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| 商品URL | https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0200040822 |
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内容
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.