Swap Book Risk Valuation Using Convexity Adjustments

• Main Authors: Lim, Kian Guan, Low, Teng Yong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2634
• Institution: Singapore Management University

Since the early 1980s, interest rate swaps have risen to become one of the most widely traded financial market instruments on the globe. The pervasive use of this financial instrument in managing interest rate and currency risks not only in America and Europe, but also in Asia, has implied a large s...