Trading risk and volatility in interest rate swap spreads
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References listed on IDEAS
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University of California at Los Angeles, Anderson Graduate School of Management
qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Csaba Csávás & Lóránt Varga & Csaba Balogh, 2008. "The forint interest rate swap market and the main drivers of swap spreads," MNB Occasional Papers 2008/64, Magyar Nemzeti Bank (Central Bank of Hungary).
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More about this item
KeywordsRisk ; Swaps (Finance) ; Repurchase agreements ; Asset pricing;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
- NEP-FIN-2004-09-05 (Finance)
- NEP-FMK-2004-09-05 (Financial Markets)
- NEP-RMG-2004-09-05 (Risk Management)
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