Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR and Blackwell Series in Finance)

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9780943205380: Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps (The Research Foundation of AIMR and Blackwell Series in Finance)
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This monograph addresses the return side of the decision to use interest rate swaps or other interest-rate-contingent claims. Because the economic costs of decisions related to a company's policies toward debt maturities are important to stock price performance, the analysis in this monograph has practical implications for investment analysts. Brooks demonstrates how an at-the-market swap with a risk premium can have a significant impact on the expected return from using the swap.

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About the Author:

Robert Brooks, CFA, is an associate professor of finance at the University of Alabama, Board of Visitors Research Fellow in Finance, and president of Financial Risk Management, a derivatives consulting firm. He has served as a consultant regarding the management of financial risks for auditing firms, corporations, investment bankers, and commercial bankers. Mr. Brooks is the author of more than 30 articles that have appeared in such publications as the Journal of Financial and Quantitative Analysis, the Journal of Banking & Finance, and the Journal of Financial Engineering. He is also co-author of the book Interest Rate Risk Management: The Bankers Guide to Using Futures, Options, Swaps, and Other Derivative Instruments.

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Brooks, Robert
Published by Research Foundation of AIMR & Blackwell Publishers
ISBN 10: 0943205387 ISBN 13: 9780943205380
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