early termination of interest rate swaps

The Role of Interest Rate Swaps in Corporate Finance doc

The Role of Interest Rate Swaps in Corporate Finance doc
Ngày tải lên : 22/03/2014, 17:20
... sell an interest rate swap than to call and refund outstanding fixed -rate debt A COMPARISON OF INTEREST RATE FUTURES AND INTEREST RATE SWAPS A discussion of the economic role of interest rate swaps ... price of an interest rate swap consists of two different interest rates In the case of a fixed/floating swap, the quoted interest rates involve a fixed and a floating rate The floating interest rate ... mechanics of interest rate swaps and examines these rationales in more detail FUNDAMENTALS OF INTEREST RATE SWAPS The most common type of interest rate swap is the fixed/floating swap in which a fixed-rate...
  • 20
  • 387
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf

Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf
Ngày tải lên : 15/02/2014, 05:20
  • 11
  • 426
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
The effect of interest rate changes on bank stock returns doc

The effect of interest rate changes on bank stock returns doc
Ngày tải lên : 15/03/2014, 01:20
... of the interest rate sensitivity Stone's work was built on and further enhanced by Lynge and Zumwalt (1980) who found that interest rate sensitivity varied depending on the term of interest rates, ... discount rates This has been explained as arising from sticky interest rates and increasing risks in a competitive US banking market This implies official interest rate changes resulting in higher interest ... was consecutive interest rate reduction that followed an extremely volatile and high interest period when interest rates reached record levels and the cash rate was in excess of 17.5 percent...
  • 16
  • 567
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
REGULATION OF INTEREST RATE BY THE STATE BANK OF VIETNAM (SBV) potx

REGULATION OF INTEREST RATE BY THE STATE BANK OF VIETNAM (SBV) potx
Ngày tải lên : 15/03/2014, 01:20
... Regulation of Interest Rate by the State Bank of Vietnam (SBV) Table of Contents FOREWORD THE ROLES OF INTEREST RATE 1.1 Interest Rate and Consumption/Investment 1.2 Interest ... Intake 13 CFVG, Hanoi, June 2006 Page of 20 International Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) THE ROLES OF INTEREST RATE Interest Rate is a key economic factors, ... 6.2 Page of 20 International Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) 1.2 Interest Rate and Inflation Following the quantity theory of money, as the interest rate increases,...
  • 20
  • 817
  • 2
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
INTEREST RATE SWAPS potx

INTEREST RATE SWAPS potx
Ngày tải lên : 15/03/2014, 02:20
... INTEREST RATE SWAPS Definition: Transfer of interest rate streams without transferring underlying debt FIXED FOR FLOATING SWAP Some Definitions Notational Principal: The dollar the interest rates ... on floater 4.88 VALUE OF A SWAP Swaps can be valued: Difference of two bonds: Let, V = Value of swap B1 = Value of fixed rate underlying the swap B2 = Value of floating rate bond underlying the ... Litzenberger (Journal of Finance, 1992) points out that there are three features of difference between swaps and exchange of pure corporate bonds: Bid-Ask spreads are far less than on corporate bonds,...
  • 23
  • 179
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
DETERMINANTS OF INTEREST RATE SPREADS IN BELIZE ppt

DETERMINANTS OF INTEREST RATE SPREADS IN BELIZE ppt
Ngày tải lên : 15/03/2014, 14:20
... of interest rate spreads and margins vary among authors and offer no consensus on the best measure for interest rate spreads By employing the wide interest margin definition in the analysis of ... Reported Weighted Average Lending Rate Reported Weighted Average Deposit Rate Reported Interest Rate Spread 2006 2007 2008 2009 2010 Interest earned from loans/total loans Interest paid on deposits/total deposits Interest Rate Spread ( Profit & Loss) ... the interest rate spread represents almost two-thirds (63.5%) of the lending rate (i.e 8.9% out of 14.0%) Graph below displays a regional comparison on the interest rate spread to lending rates...
  • 46
  • 390
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Interest Rate Swaps and Economic Exposure potx

Interest Rate Swaps and Economic Exposure potx
Ngày tải lên : 15/03/2014, 14:20
... use interest rate swaps, because interest rate swaps not only enable efficient management of interest rate changes but also result in minimization of the cost of debt for the firm To illustrate, ... contribution of the value of interest rate swap activity in any given country to the total (global) interest rate swap activity 28 Table USE OF INTEREST RATE SWAPS AND CURRENCY SWAPS (billions of US$) ... infrequent users of interest rate swaps and they are primarily interest rate swap dealers.2 Wall and Pringle (1989) surveyed a set of 250 firms which had reported the use of interest rate swaps This...
  • 30
  • 383
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Determinants of interest rate exposure of Spanish banking industry potx

Determinants of interest rate exposure of Spanish banking industry potx
Ngày tải lên : 22/03/2014, 23:20
... a large portion of their assets with deposits have less interest rate exposure The characterization of the interest rate exposure profile of banks in terms of a reduced group of financial indicators, ... extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates However, the analysis of the sources of bank interest rate risk has ... Determinants of interest rate exposure * of Spanish banking industry Laura Ballester, Román Ferrer, Cristóbal González and Gloria M Soto** Abstract Interest rate risk represents one of the key forms of...
  • 38
  • 364
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Investigation of interest rate derivatives by quantum finance

Investigation of interest rate derivatives by quantum finance

Ngày tải lên : 13/09/2015, 21:06
... vi Interest Rate and Interest Rate Derivatives § 1.1 Simple Fixed Income Instruments § 1.2 Interest Rate § 1.2.1 Convention of Interest ... study of interest rate In debt market, there is an entire curve of forward interest rates which are imperfect correlated that evolves randomly Baaquie has pioneered the work of modelling forward interest ... that there is a single interest rate associated with a maturity One way of overcoming this problem is to use forward rates Forward interest rates f (t, x) are the interest rates, fixed at time t,...
  • 211
  • 211
  • 0
  1. Giáo Dục - Đào Tạo
  2. Cao đẳng - Đại học
Tài liệu The importance of interest rates for forecasting the exchange rate doc

Tài liệu The importance of interest rates for forecasting the exchange rate doc
Ngày tải lên : 15/02/2014, 05:20
... annual interest rate, we therefore need to multiply the quarterly interest rate by four Hence, if we had used an annual interest rate, the coefficient for the interest rate difference would be ¼ of ... depreciation rate from period t to t+1, it is the domestic interest rate and it* is the foreign interest rate Hence, an interest rate differential at time t, will then lead to an expected depreciation rate ... impulse dummies) The exchange rate model therefore contains three lags of the difference of each of If iq is the quarterly interest rate and ia is the annual interest rate, the relationship between...
  • 21
  • 562
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu Deregulation of Savings Bank Deposit Interest Rate: A Discussion Paper pptx

Tài liệu Deregulation of Savings Bank Deposit Interest Rate: A Discussion Paper pptx
Ngày tải lên : 15/02/2014, 05:20
... cent The issue of deregulation of savings deposit interest rate has arisen from time to time The Annual Policy Statement of 2002-03 had weighed the option of deregulation of interest rate on savings ... Various Rates Pair of Interest Rates Correlation Coefficient I Weighted Term Deposit Rate and Call Rate 0.82 II Weighted Savings Deposit Rate and Call Rate 0.18 III Weighted Term Deposit Rate and ... arising out of deregulation of savings deposits interest rate is low Further, the experience of deregulation of interest rates on term deposits also suggests that there was some shift of term deposits...
  • 25
  • 448
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx

Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx
Ngày tải lên : 15/02/2014, 05:20
... Market interest rateAT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT ... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rateIT Market interest rate NL Market interest rate PT ... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT...
  • 41
  • 1K
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
Ngày tải lên : 16/02/2014, 06:20
... states the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio, i.e ki (t) = BV Pi (t) BV PS (11) If the same exposure to interest rate risk translates ... (2009) Determinants of interest rate exposure of Spanish banking industry Working Paper of University of Castilla-La Mancha Czaja, M.-G., H Scholz, and M Wilkens (2010) Interest rate risk rewards ... exposure to interest rate risk Often banks’ balance sheets are used, which are broken down into positions of relatively homogeneous repricing periods For each position, a measure of interest rate sensitivity...
  • 40
  • 551
  • 1
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc
Ngày tải lên : 17/02/2014, 03:20
... Reaction of Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest Rate Surprise Level Swaps ... configuration of interest rates are also associated with significantly slower growth of the size of bank balance sheets The slowdown in the growth of bank assets in the wake of rising short-term interest rates ... level of interest rates, whereas banks that rely heavily on core deposits exhibit significantly greater sensitivity to both types of interest rate shocks Lastly, a very high intensity of interest rate...
  • 47
  • 528
  • 1
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Tài liệu The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity∗ ppt

Tài liệu The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity∗ ppt
Ngày tải lên : 17/02/2014, 03:20
... make a large number of assumptions about the likely evolution of exogenous variables One of these is the policy interest rate Most banks used to assume a constant policy interest rate If, however, ... discussion of the shortcomings of central bank forecasts based on the constant interest rate assumption or on market rates to build up the case for using and revealing the policy interest rate path ... role of interest rate forecasts Two periods allow us to distinguish between the current and the future interest rate Two signals early and updated—make it possible for the actually chosen interest...
  • 41
  • 611
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
An Analysis of Commercial Bank Exposure to Interest Rate Risk doc

An Analysis of Commercial Bank Exposure to Interest Rate Risk doc
Ngày tải lên : 06/03/2014, 02:21
... important part of the management of interest rate risk at certain banks The notional amount of interest rate contracts—such as interest rate options, swaps, futures, and forward rate agreements—has ... level of the rate shock An Analysis of Commercial Bank Exposure to Interest Rate Risk provide an estimate of the net change in the economic value of an institution’s assets, liabilities, and offbalance-sheet ... or more of their total assets This measurement conundrum makes estimates of interest rate risk especially difficult and underscores the lack of precision in any measure of bank interest rate risk...
  • 14
  • 615
  • 2
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
RATE OF INTEREST ON ADVANCES pptx

RATE OF INTEREST ON ADVANCES pptx
Ngày tải lên : 06/03/2014, 02:21
... Base Rate + 8.75% Page of SyndicateBank h) C) D) Rate of Interest on Advances the date of payment (inclusive of overdue interest of 2%) NOTE: Advances are eligible for concessional rate of interest ... rate of interest to be increased by 25 bps over the applicable rate of interest for Housing loans of `75.00 lacs and above RETAIL PRODUCTS (Tenor premium not applicable) Name of the Product Rate ... from the Base Rate + 1.25% date of advance ii) For the period beyond 90 days till the date of payment (inclusive of Base Rate + 8.75% overdue interest of 2%) For entire period of advance if the...
  • 9
  • 306
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
RATE OF INTEREST ON ADVANCES docx

RATE OF INTEREST ON ADVANCES docx
Ngày tải lên : 06/03/2014, 02:21
... (inclusive of overdue interest of 2.00%) PLR+5.00% For delayed period of remittance received in respect of bills under IDBI/SIDBI Bill Re discounting Scheme (including overdue interest of PLR+5.00% ... 3.00 3.00 Page of SyndicateBank Rate of Interest on Advances PLR Advances against third party deposits Inland Bills upto 180 days of less than Rs 50.00 lacs backed PLR by LCs of Scheduled Banks ... SyndNivas Plus Interest Rate PLR minus 4.00% PLR minus 3.50% PLR minus 3.25% PLR minus 3.00% and Interest Rate PLR minus 3.25% PLR minus 2.75% PLR minus 2.50% PLR minus 2.25% Interest Rate PLR minus...
  • 5
  • 314
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx
Ngày tải lên : 06/03/2014, 03:20
... participants often employ interest rate derivatives for one of two reasons, either (a) to hedge interest rate risk; or (b) to take a position on the future path of interest rates Numerous varieties of ... relationship may reflect the higher interest rate sensitivity of longer-dated swap transactions One measure of the interest rate sensitivity of a swap is the “dollar value of a basis point” or DV01 The ... single currency interest rate swap, parties agree to exchange payments periodically based on a fixed interest rate agreed upon at the outset of the transaction and a floating interest rate based on...
  • 23
  • 533
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng
Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
Ngày tải lên : 06/03/2014, 04:21
... the context of deterministic intensities Since interest rates are independent of τ , we can set τ = Γ−1 (ξ), with ξ an exponential random variable of parameter independent of interest rates Consider ... the best of our knowledge, allowing for an automatic calibration of the term structure of interest rates and of credit default swaps (CDS’s) Additional parameters can be set so as to calibrate option ... It can be interesting to study the main terms that appear in basic payoffs of the credit derivatives world from the point of view of the impact of the correlation ρ between interest rates r and...
  • 27
  • 393
  • 0
  1. Tài Chính - Ngân Hàng
  2. Ngân hàng - Tín dụng

Xem thêm