Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach

2004 ◽  
Vol 24 (3) ◽  
pp. 221-250 ◽  
Author(s):  
Ilias Lekkos ◽  
Costas Milas
Keyword(s):  
Risk Factors ◽  
Interest Rate ◽  
Vector Autoregression ◽  
Interest Rate Swap ◽  
Common Risk Factors ◽  
Nonlinear Vector ◽  
Rate Swap ◽  
The U.S

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals International Comparison of Common Risk Factors of Preterm Birth Between the U.S. and Canada, Using PRAMS and MES (2005–2006)

2014 ◽  
Vol 19 (4) ◽  
pp. 811-818 ◽  
Author(s):  
Joshua V. Garn ◽  
Tharsiya Nagulesapillai ◽  
Amy Metcalfe ◽  
Suzanne Tough ◽  
Michael R. Kramer
Keyword(s):  
Risk Factors ◽  
Preterm Birth ◽  
International Comparison ◽  
Common Risk Factors ◽  
The U.S
Sign in / Sign up

Export Citation Format

Share Document