Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps

2014 ◽  
Author(s):  
Christian P. Fries ◽  
Mark Lichtner
Keyword(s):  
Total Return Swaps

Real-Estate Derivative Instruments

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Real Estate ◽  
Put Options ◽  
Derivative Instruments ◽  
Market Practices ◽  
Total Return Swaps

This chapter is dedicated to the innovation of real-estate derivatives, with a focus on vanilla products such as forwards/futures, total return swaps, and European call and put options. A description is given of the mechanics behind these instruments and their range of applications. The examples provided here highlight changes in market quotation agreements and standard market practices related to valuation of vanilla real-estate derivatives such as forwards, futures, and total return swaps. In addition, MacroShares, PICs, PIFs, and PINs are discussed.

Fixed Income Total Return Swaps

2008 ◽  
Author(s):  
Mark J. P. Anson ◽  
Frank J. Fabozzi ◽  
Moorad Choudhry ◽  
Ren-Raw Chen
Keyword(s):  
Fixed Income ◽  
Total Return Swaps

An update on the EU securities financing transactions regulation

2017 ◽  
Vol 18 (1) ◽  
pp. 78-83 ◽  
Author(s):  
William J.G. Yonge
Keyword(s):  
International Law ◽  
Design Methodology ◽  
Law Firm ◽  
Investment Funds ◽  
Content Type ◽  
Eu Regulation ◽  
Detailed Explanation ◽  
Total Return Swaps ◽  
The Eu ◽  
Alternative Investment

Purpose To provide an update and detailed explanation on the EU Regulation on Transparency of Securities Financing Transactions and of Reuse (“SFTR”). Design/methodology/approach Examines the SFTR, its key measures and requirements. Findings Concludes with a number of considerations and recommendations. For example, it advises managers of Undertakings for Collective Investment in Transferable Securities (UCITS) and alternative investment funds (AIFs) to prepare to disclose details of their use of securities financing transactions and total return swaps. Originality/value Offers information on the SFTR and explains its requirements and scope. It has been written by a partner at an international law firm.

scholarly journals Currency total return swaps: valuation and risk factor analysis

2013 ◽  
Vol 13 (7) ◽  
pp. 1135-1148
Author(s):  
ROMAIN CUCHET ◽  
PASCAL FRANÇOIS ◽  
GEORGES HÜBNER
Keyword(s):  
Factor Analysis ◽  
Risk Factor ◽  
Risk Factor Analysis ◽  
Total Return Swaps

CMBS Total Return Swaps

2005 ◽  
Vol 31 (5) ◽  
pp. 162-167 ◽  
Author(s):  
Laurie S. Goodman ◽  
Frank J. Fabozzi
Keyword(s):  
Total Return Swaps
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