Determinants of interest rate swap spreads
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- Bicksler, James & Chen, Andrew H, 1986. " An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-55, July.
- Cooper, Ian A & Mello, Antonio S, 1991. " The Default Risk of Swaps," Journal of Finance, American Finance Association, vol. 46(2), pages 597-620, June.
- Grinblatt, Mark, 1995.
"An Analytic Solution for Interest Rate Swap Spreads,"
University of California at Los Angeles, Anderson Graduate School of Management
qt9s13f3zx, Anderson Graduate School of Management, UCLA.
- Mark Grinblatt, 2001. "An Analytic Solution for Interest Rate Swap Spreads," International Review of Finance, International Review of Finance Ltd., vol. 2(3), pages 113-149.
- Mark Grinblatt, 2002. "An Analytic Solution for Interest Rate Swap Spreads," Yale School of Management Working Papers ysm39, Yale School of Management.
- Larry D. Wall & John J. Pringle, 1987. "Alternate explanations of interest rate swaps," Proceedings 154, Federal Reserve Bank of Chicago.
- Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
- Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, vol. 34(1), pages 77-99, August.
- Titman, Sheridan, 1992.
" Interest Rate Swaps and Corporate Financing Choices,"
Journal of Finance,
American Finance Association, vol. 47(4), pages 1503-16, September.
- Sheridan Titman, 1990. "Interest rate swaps and corporate financing choices," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Hull, John, 1989. "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(04), pages 489-501, December.
- Marcelle Arak & Arturo Estrella & Laurie Goodman & Andrew Silver, 1988. "Interest rate swaps: an alternative explanation," Research Paper 8811, Federal Reserve Bank of New York.
- Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-50, July.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- J. Gregg Whittaker, 1987. "Interest rate swaps: risk and regulation," Economic Review, Federal Reserve Bank of Kansas City, issue Mar, pages 3-13.
- Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July.
- Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
- Flannery, Mark J, 1986. " Asymmetric Information and Risky Debt Maturity Choice," Journal of Finance, American Finance Association, vol. 41(1), pages 19-37, March.
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