| Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR and Blackwell Series in Finance) |  | Author: Robert Brooks
Publisher: Research Foundation of AIMR & Blackwell Publishers
Category: Book
List Price: $35.00
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Sales Rank: 2,461,638
Media: Paperback
Pages: 40
Number Of Items: 1
Shipping Weight (lbs): 0.3
Dimensions (in): 9 x 6 x 0.2
ISBN: 0943205387
Dewey Decimal Number: 332.82011
EAN: 9780943205380
ASIN: 0943205387
Publication Date: January 15, 1991
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Product Description
This monograph addresses the return side of the decision to use interest rate swaps or other interest-rate-contingent claims. Because the economic costs of decisions related to a company's policies toward debt maturities are important to stock price performance, the analysis in this monograph has practical implications for investment analysts. Brooks demonstrates how an at-the-market swap with a risk premium can have a significant impact on the expected return from using the swap.
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