RT Report
T1 Risk premia in the term structure of swaps in pesetas
A1 Novales Cinca, Alfonso Santiago
A1 Abad Romero, Pilar
AB Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. We then focus on characterizing some propreties of realized, ex-pst term-premia, and provide explanatory variables for them. We pay particular attention to the extent to which the levels of markets risk, default risk and liquidity risk explain the time evolution of risk premia at different maturities.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2002
FD 2002
LK https://hdl.handle.net/20.500.14352/64509
UL https://hdl.handle.net/20.500.14352/64509
LA eng
DS Docta Complutense
RD 7 abr 2025