Interest Rate Futures: New Tool for the Financial Manager

1976 ◽  
Vol 5 (1) ◽  
pp. 32 ◽  
Author(s):  
Peter W. Bacon ◽  
Richard E. Williams
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

Short-Term Interest Rate Futures as Monetary Policy Forecasts

2008 ◽  
Author(s):  
Giuseppe Ferrero ◽  
Andrea Nobili
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Short Term ◽  
Interest Rate Futures

Interest Rate Futures

Derivatives ◽  
2017 ◽  
pp. 88-112
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

scholarly journals Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework

1995 ◽  
Author(s):  
Ramaprasad Bhar ◽  
Carl Chiarella
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

Market structure and microstructure, in international interest rate futures markets

2010 ◽  
Vol 24 (3) ◽  
pp. 253-266 ◽  
Author(s):  
Frank McGroarty ◽  
Owain ap Gwilym ◽  
Steve Thomas
Keyword(s):  
Interest Rate ◽  
Market Structure ◽  
Futures Markets ◽  
Interest Rate Futures ◽  
Structure And Microstructure

Interest rate futures and bank hedging

OR Spectrum ◽  
1999 ◽  
Vol 21 (1-2) ◽  
pp. 71-80 ◽  
Author(s):  
Udo Broll ◽  
Timothy W. Guinnane
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

Interest rate futures

2020 ◽  
pp. 236-280
Author(s):  
Kedar Nath Mukherjee
Keyword(s):  
Interest Rate ◽  
Interest Rate Futures

scholarly journals Interest Rate Swap Market Complexity and Its Risk Management Implications

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-20
Author(s):  
Steve Y. Yang ◽  
Esen Onur
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Network Structure ◽  
Risk Sharing ◽  
Interest Rate Swap ◽  
Market Participants ◽  
Interest Rate Futures ◽  
The Interest Rate ◽  
Management Behaviors ◽  
Rate Swap

The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks. We use a unique swap dataset extracted from the swap data repositories (SDRs) to examine the network structure properties and market participants’ risk management behaviors. We find (a) the interest rate swap market follows a scale-free network where the power-law exponent is less than 2, which indicates that few of its important entities have a significant number of contracts within their subsidiaries (a.k.a. interaffiliated swap contracts); (b) swap rate volatility Granger-causes swap users to increase their risk sharing intensity at entity level, but market participants do not change their risk management strategies in general; (c) there is a significant contemporaneous correlation between the swap rate volatility and the underlying interest rate futures volatility. However, interest rate swap volatility does not cause the underlying interest rate futures volatility and vice versa. These findings provide the market regulators and swap users a better understanding of interest rate swap market participants’ risk management behaviors, and it also provides a method to monitor the swap market risk sharing dynamics.

Interest Rate Futures and Forward Rate Agreements

2008 ◽  
Author(s):  
Frank J. Fabozzi ◽  
Steven V. Mann
Keyword(s):  
Interest Rate ◽  
Forward Rate ◽  
Interest Rate Futures
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