Inflation Differential as a Driver of Cross-Currency Basis Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.3636220 ◽

2020 ◽

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Inflation Differential ◽

Swap Spreads

Download Full-text

Inflation differential as a driver of cross-currency basis swap spreads

European Journal of Finance ◽

10.1080/1351847x.2020.1824928 ◽

2020 ◽

pp. 1-27

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Inflation Differential ◽

Swap Spreads

Download Full-text

The Components of Interest Rate Swap Spreads: Theory and International Evidence

CFA Digest ◽

10.2469/dig.v33.n3.1316 ◽

2003 ◽

Vol 33 (3) ◽

pp. 34-36

Author(s):

Robert A. McLean

Keyword(s):

Interest Rate ◽

Interest Rate Swap ◽

International Evidence ◽

Swap Spreads ◽

Rate Swap

Download Full-text

Credit default swap spreads, fair-value spreads and interest rate dynamics

The Journal of Credit Risk ◽

10.21314/jcr.2012.154 ◽

2012 ◽

Vol 8 (4) ◽

pp. 53-129 ◽

Cited By ~ 1

Author(s):

Andy Jia-Yuh Yeh

Keyword(s):

Interest Rate ◽

Credit Default Swap ◽

Fair Value ◽

Interest Rate Dynamics ◽

Credit Default ◽

Default Swap ◽

Swap Spreads

Download Full-text

The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?

SSRN Electronic Journal ◽

10.2139/ssrn.2084916 ◽

2012 ◽

Author(s):

Hans-Peter Burghof ◽

Philipp Johannes Schneider ◽

Andreas Wengner

Keyword(s):

Credit Rating ◽

Credit Default Swap ◽

Industry Effects ◽

Credit Default ◽

Default Swap ◽

The Impact ◽

Swap Spreads

Download Full-text

Modeling Term Structures of Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.233963 ◽

2000 ◽

Cited By ~ 26

Author(s):

Hua He

Keyword(s):

Term Structures ◽

Swap Spreads

Download Full-text

The Influence of Systemic Importance Indicators on Bankss Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2648466 ◽

2015 ◽

Cited By ~ 2

Author(s):

Jill Cetina ◽

Bert Loudis

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Default Swap ◽

Swap Spreads

Download Full-text

The Impact of Debt Covenant Violation on Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2893672 ◽

2017 ◽

Author(s):

Changling Chen ◽

Jeong-Bon Kim ◽

Chunmei Zhu

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Debt Covenant ◽

Debt Covenant Violation ◽

Default Swap ◽

The Impact ◽

Swap Spreads

Download Full-text

Macro-Derivatives Nexus: New Drivers of Cross-Currency Basis Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.3405022 ◽

2019 ◽

Cited By ~ 1

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Swap Spreads

Download Full-text

What Drives Swap Spreads, Credit or Liquidity?

SSRN Electronic Journal ◽

10.2139/ssrn.967786 ◽

2003 ◽

Cited By ~ 5

Author(s):

Ying Sophie Huang ◽

Salih N. Neftci

Keyword(s):

Swap Spreads

Download Full-text

Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2021.101304 ◽

2021 ◽

pp. 101304

Author(s):

Oyakhilome Ibhagui

Keyword(s):

Real Output ◽

Swap Spreads

Download Full-text