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| Tekijä: | Duffie, D. Singleton, K. J. |
| Otsikko: | An econometric model of the term structure of interest-rate swap yields |
| Lehti: | Journal of Finance
1997 : SEP, VOL. 52:4, p. 1287-1321 |
| Asiasana: | ECONOMETRIC MODELS TERM STRUCTURE OF INTEREST RATES SWAPS |
| Kieli: | eng |
| Tiivistelmä: | This paper shows that under the assumption of symmetric counterparty credit risk, swaps can be priced using standard term-structure models based on a risk- and liquidity -adjusted discount rate. It is assumed that the adjusted discount rate can be expressed as the sum of two independent square-root diffusions, for the purpose of this econometric analysis. It was found that this two-factor model fits many aspects of the swap term structures well, upon maximizing the likelihood function for about seven years of weekly data. The primary exception is the very short end of the swap curve represented by six-month LIBOR. The study then examines the dynamic properties of the spreads between the zero-coupon bond yields implicit in the swap curve and their Treasury counterparts, using the estimated model. |
SCIMA