Negative Swap Spreads and Limited Arbitrage

2019 ◽  
Author(s):  
Urban Jermann
Keyword(s):  
Limited Arbitrage ◽  
Swap Spreads

Negative Swap Spreads and Limited Arbitrage

2016 ◽  
Author(s):  
Urban J. Jermann
Keyword(s):  
Limited Arbitrage ◽  
Swap Spreads

Negative Swap Spreads and Limited Arbitrage

2019 ◽  
Vol 33 (1) ◽  
pp. 212-238 ◽  
Author(s):  
Urban J Jermann
Keyword(s):  
Interest Rate ◽  
Empirical Evidence ◽  
Arbitrage Opportunities ◽  
Interest Rate Swaps ◽  
Limited Arbitrage ◽  
Editorial Decision ◽  
Swap Spreads

Abstract Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps, where frictions for holding bonds limit arbitrage. I analytically show that negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical counterparts without the need for large demand imbalances in the swap market. Empirical evidence is consistent with the relation between term spreads and swap spreads in the model. Received April 16, 2017; editorial decision Januray 3, 2019 by Editor Stijn Van Nieuwerburgh.

The Components of Interest Rate Swap Spreads: Theory and International Evidence

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 34-36
Author(s):  
Robert A. McLean
Keyword(s):  
Interest Rate ◽  
Interest Rate Swap ◽  
International Evidence ◽  
Swap Spreads ◽  
Rate Swap

Limited Arbitrage in Equity Markets

CFA Digest ◽  
2002 ◽  
Vol 32 (4) ◽  
pp. 70-72
Author(s):  
Michael G. Sher
Keyword(s):  
Equity Markets ◽  
Limited Arbitrage

Credit default swap spreads, fair-value spreads and interest rate dynamics

2012 ◽  
Vol 8 (4) ◽  
pp. 53-129 ◽  
Author(s):  
Andy Jia-Yuh Yeh
Keyword(s):  
Interest Rate ◽  
Credit Default Swap ◽  
Fair Value ◽  
Interest Rate Dynamics ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Limited Arbitrage: The Paralysis of the Regulating Mechanism of Financial Markets

2008 ◽  
Author(s):  
Feker Bayoudh ◽  
Moez Elgaied
Keyword(s):  
Financial Markets ◽  
Limited Arbitrage

The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?

2012 ◽  
Author(s):  
Hans-Peter Burghof ◽  
Philipp Johannes Schneider ◽  
Andreas Wengner
Keyword(s):  
Credit Rating ◽  
Credit Default Swap ◽  
Industry Effects ◽  
Credit Default ◽  
Default Swap ◽  
The Impact ◽  
Swap Spreads

Modeling Term Structures of Swap Spreads

2000 ◽  
Author(s):  
Hua He
Keyword(s):  
Term Structures ◽  
Swap Spreads

The Impact of Debt Covenant Violation on Credit Default Swap Spreads

2017 ◽  
Author(s):  
Changling Chen ◽  
Jeong-Bon Kim ◽  
Chunmei Zhu
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Debt Covenant ◽  
Debt Covenant Violation ◽  
Default Swap ◽  
The Impact ◽  
Swap Spreads
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