Swap Book Risk Valuation Using Convexity Adjustments

• المؤلفون الرئيسيون: Lim, Kian Guan, Low, Teng Yong
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2002
• الموضوعات: Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2634

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...