Interest Rate Swaps

Article Sidebar

PDF
Published Oct 3, 2017

Main Article Content

Marina Pepić
National Bank of Serbia, Belgrade, Serbia

Abstract

Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk. Financial derivatives are a relatively simple way of protection from adverse changes in interest rates. Interest rate swaps are particularly popular because they reduce interest rate risk to a minimum with a relatively low initial cost and without great risk, but also because of the fact that there are many modifications of the standard swap created to better satisfy the different needs of market players.

Article Details

Issue
Vol 47 No 3-4 (2014): Economic Analysis
Section
Part II: Financial Economics
Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Once the manuscript is accepted for publication, authors shall transfer the copyright to the publisher. If the submitted manuscript is not accepted for printing by the journal, the authors shall retain all their rights. The following rights on the manuscript are transferred to the publisher, including any supplementary materials and any parts, extracts or elements of the manuscript:

  • the right to reproduce and distribute the manuscript in printed form, including print-on-demand;
  • the right to print prepublications, reprints and special editions of the manuscript;
  • the right to translate the manuscript into other languages;
  • the right to reproduce the manuscript using photomechanical or similar means including, but not limited to photocopy, and the right to distribute these copies;
  • the right to reproduce and distribute the manuscript electronically or optically using and all data carriers or storage media, and especially in machine readable/digitalized form on data carriers such as hard drive, CD-ROM, DVD, Blu-ray Disc (BD), Mini Disc, data tapes, and the right to reproduce and distribute the article via these data carriers;
  • the right to store the manuscript in databases, including online databases, as well as the right to transmit the manuscript in all technical systems and modes;
  • the right to make the manuscript available to the public or to closed user groups on individual demand, for use on monitors or other readers (including e-books), and in printable form for the user, either via the Internet, online service, or via internal or external networks.

References

Arditti, F. D. 1996. Derivatives - A Comprehensive Resource for Options, Futures, Interest Rate Swaps and Mortgage Securities, Boston: Harvard Business School press.
Chance, D. M. 1998. An Introduction to Derivatives and Risk Management, 5th ed. Fort Worth, Harcourt College Publishers.
Choudhry, M. 2005. Fixed-Income Securities and Derivatives - Analysis and Valuation, Princeton: Bloomberg Press.
Culp, C. 2004. Risk Transfer – Derivatives in Practise. New Jersey: John Wiley and Sons.
Cvitanić, J. and Zapatero, F. 2004. Introduction to the Economics and Mathematics of Financial Markets, Cambridge: MIT Press.
Eales, B. and Choudhry, M. 2003. Derivative Instruments: A Guide to Theory and Practice, Oxford: Butterworth Heinemann.
Fabozzi, F. J. 1996. Measuring and Controlling Interest Rate Risk, New Hope, PA: Frank J. Fabozzi Associates.
Fabozzi, F. J. and Mann, S. V. 2005. The handbook of fixed income securities, 7th ed. New York: McGraw-Hill Professional.
Fabozzi, F. J. 2007. Fixed Income Analysis, 2nd ed. New Jersey: John Wiley and Sons.
Peterson D. P. and Fabozzi, F. J. 2010. The Basics of Finance - An Introduction to Financial Markets, Business Finance, and Portfolio Management, New Jersey: John Wiley and Sons.
Hull, J. C. 2003. Options, Futures and Other Derivatives. 5th ed. New Jersey: Prentice-Hall.
Kolb, R.. 1999. Futures, Options and Swaps. 3rd ed. Cambridge: Mass, Blackwell Publishers.
Martellini, L., Priaulet, P. and Priaulet, S. 2003. Fixed-Income Securities - Valuation, Risk Management and Portfolio Strategies, Chichester, England: John Wiley and Sons.
Mishkin, F. S. and Eakins, S. G. 2006. Financial markets and institutions, Boston: Addison-Wesley.
Reilly, F. K. and Brown, K. C. 2003. Investment Analysis and Portfolio Management, 7th ed. Mason, Ohio: South-Western/Thomson Learning.
Stephens, J. 2002. Managing Interest Rate Risk – using financial derivatives. Chichester, England: John Wiley and Sons.