Publication Date
1-1-1992
Abstract
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.
Document Type
Article
Keywords
equilibrium swap rates, Nash Bargaining solution, risk, intermediaries
Disciplines
Business
Part of
article
Extent
38 pages
Format
Rights
The files in this collection are protected by copyright law. No commercial reproduction or distribution of these files is permitted without the written permission of Southern Methodist University, Cox Business School. These files may be freely used for educational purposes, provided they are not altered in any way, and Southern Methodist University is cited. For more information, contact ncds@smu.edu.
Language
English
