Matches in SemOpenAlex for { <https://semopenalex.org/work/W3138424908> ?p ?o ?g. }
Showing items 1 to 66 of
66
with 100 items per page.
- W3138424908 abstract "This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counter party relationships. Using regulatory data for U.S.-reporting entities, the size of the market measured by notional amount is $231 trillion, but, measured by ENNs, is only $13.9 trillion 5-year swap equivalents, which is the same order of magnitude as other large U.S. fixed income markets. This paper also quantifies the size and direction of IRS positions across and within various business sectors. Among the empirical findings are that 92% of entities using IRS are exclusively long or exclusively short. Hence, the vast majority of market participants are prototypical end users, and the extensive amount of netting in the market is attributable to the activity of relatively few, larger entities. Finally, some sector-specific empirical findings are inconsistent with widespread, prior beliefs. For example, pension funds and insurance companies are typically thought to be long IRS to hedge their long-term liabilities, and these sectors are indeed net long, but approximately 50% of individual entities in these sectors are actually net short." @default.
- W3138424908 created "2021-03-29" @default.
- W3138424908 creator A5004245871 @default.
- W3138424908 creator A5007545749 @default.
- W3138424908 creator A5031918899 @default.
- W3138424908 creator A5051121284 @default.
- W3138424908 creator A5080153300 @default.
- W3138424908 date "2020-01-01" @default.
- W3138424908 modified "2023-09-23" @default.
- W3138424908 title "Risk Transfer with Interest Rate Swaps" @default.
- W3138424908 doi "https://doi.org/10.2139/ssrn.3661715" @default.
- W3138424908 hasPublicationYear "2020" @default.
- W3138424908 type Work @default.
- W3138424908 sameAs 3138424908 @default.
- W3138424908 citedByCount "0" @default.
- W3138424908 crossrefType "journal-article" @default.
- W3138424908 hasAuthorship W3138424908A5004245871 @default.
- W3138424908 hasAuthorship W3138424908A5007545749 @default.
- W3138424908 hasAuthorship W3138424908A5031918899 @default.
- W3138424908 hasAuthorship W3138424908A5051121284 @default.
- W3138424908 hasAuthorship W3138424908A5080153300 @default.
- W3138424908 hasConcept C10138342 @default.
- W3138424908 hasConcept C106159729 @default.
- W3138424908 hasConcept C106306483 @default.
- W3138424908 hasConcept C144133560 @default.
- W3138424908 hasConcept C162118730 @default.
- W3138424908 hasConcept C162324750 @default.
- W3138424908 hasConcept C175025494 @default.
- W3138424908 hasConcept C192063788 @default.
- W3138424908 hasConcept C2780646309 @default.
- W3138424908 hasConcept C2780899237 @default.
- W3138424908 hasConcept C29944286 @default.
- W3138424908 hasConcept C556758197 @default.
- W3138424908 hasConcept C99560960 @default.
- W3138424908 hasConcept C99821215 @default.
- W3138424908 hasConceptScore W3138424908C10138342 @default.
- W3138424908 hasConceptScore W3138424908C106159729 @default.
- W3138424908 hasConceptScore W3138424908C106306483 @default.
- W3138424908 hasConceptScore W3138424908C144133560 @default.
- W3138424908 hasConceptScore W3138424908C162118730 @default.
- W3138424908 hasConceptScore W3138424908C162324750 @default.
- W3138424908 hasConceptScore W3138424908C175025494 @default.
- W3138424908 hasConceptScore W3138424908C192063788 @default.
- W3138424908 hasConceptScore W3138424908C2780646309 @default.
- W3138424908 hasConceptScore W3138424908C2780899237 @default.
- W3138424908 hasConceptScore W3138424908C29944286 @default.
- W3138424908 hasConceptScore W3138424908C556758197 @default.
- W3138424908 hasConceptScore W3138424908C99560960 @default.
- W3138424908 hasConceptScore W3138424908C99821215 @default.
- W3138424908 hasLocation W31384249081 @default.
- W3138424908 hasOpenAccess W3138424908 @default.
- W3138424908 hasPrimaryLocation W31384249081 @default.
- W3138424908 hasRelatedWork W1021577 @default.
- W3138424908 hasRelatedWork W11612808 @default.
- W3138424908 hasRelatedWork W14886247 @default.
- W3138424908 hasRelatedWork W17380672 @default.
- W3138424908 hasRelatedWork W20541632 @default.
- W3138424908 hasRelatedWork W22888870 @default.
- W3138424908 hasRelatedWork W26673775 @default.
- W3138424908 hasRelatedWork W34226457 @default.
- W3138424908 hasRelatedWork W36802440 @default.
- W3138424908 hasRelatedWork W42310565 @default.
- W3138424908 isParatext "false" @default.
- W3138424908 isRetracted "false" @default.
- W3138424908 magId "3138424908" @default.
- W3138424908 workType "article" @default.