An Economic Analysis of Interest Rate Swaps

An Economic Analysis of Interest Rate Swaps

Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of...

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Veröffentlicht in:The Journal of finance (New York) 1986-07, Vol.41 (3), p.645-655
Hauptverfasser: BICKSLER, JAMES, CHEN, ANDREW H.
Format: Artikel
Sprache:eng
Schlagworte:
Bank liabilities
Business structures
Corporations
Economic models
Economic theory
Financial institutions
Financial liabilities
Fixed interest rates
Hedging
Interest rate risk
Interest rate swap
Interest rate swaps
Interest rates
Procedures
Security swaps
Swap arrangements
Swaps
Swaps (finance)
United States Treasury bills
Valuation
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Beschreibung
Zusammenfassung:Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps. Alternative uses of and the appropriate valuation procedure for interest rate swaps are described.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1986.tb04527.x