Two types of interest rate swaps are analyzed, one between a firm and intermediary and one between two risky firms through an intermediary. A game model is introduced that can provide the equilibrium swap rate that is acceptable to both parties.
equilibrium swap rates, Nash Bargaining solution, risk, intermediaries
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Apte, Uday and Nabar, Prafulla G., "Interest Rate Swaps : A Bargaining Game Solution" (1992). Working Papers. 154.