Asset swap - PowerPoint PPT Presentation

Part 2 – Exotic swap products Asset swaps Total return swaps Forward swaps

Part 2 – Exotic swap products Asset swaps Total return swaps Forward swaps Cancellable swaps and swaptions Spread-lock interest rate swaps Constant maturity swaps Credit default swaps Equity-linked swaps. Asset swaps. -.

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1.16k views • 78 slides

Hedging the Asset Swap

Hedging the Asset Swap. Jiakou Wang. of the JGB Floating Rate Notes. Presentation at SooChow University March 2009. Contents. 1. Introduction. 2. Pricing the ASW. 3. Hedging the ASW. 4. Conclusion. Bond Investor. Interest rate risk. Credit risk. Asset Swap.

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732 views • 33 slides

Credit Derivatives Advanced Methods of Risk Management Umberto Cherubini

Credit Derivatives Advanced Methods of Risk Management Umberto Cherubini. In this lecture you will learn The difference between product specific and issuer specific credit derivatives How to compute the asset swap spread of a bond

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518 views • 31 slides

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