The Valuation of US Dollar Interest Rate Swaps

Remolona, E. M., Lekkos, I., & and Wooldridge, P. D. (1994). The Valuation of US Dollar Interest Rate Swaps.

Type

Preprint

Intellectual base

Grey literature

Year

1994

Link

https://www.bis.org/publ/econ35.pdf

Cited by

1 citation across 1 artifact.

Domain-specific

• TED Spread
  • BIS work describes it both as the relative riskiness of LIBOR-based financing and, historically, as the basis risk between private money-market rates and Treasury-bill rates.

Verification

This reference passed the adversarial substantiation pipeline: it was checked to exist and to support the claim it is attached to. See how references were verified.

Registry ID ref:d9e0360ac238 · see in the full table