'Asset swap' presentation slideshows

1.13k 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.

700 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

509 views • 31 slides