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cross-currency-swap

  1. Nicole Seaman

    P2.T8.20.17. Covered interest rate parity lost (Borio)

    Learning objectives: Differentiate between the mechanics of foreign exchange (FX) swaps and cross-currency swaps. Identify key factors that affect the cross-currency swap basis. Assess the causes of covered interest rate parity violations after the financial crisis of 2008. Questions: 20.17.1...
  2. Nicole Seaman

    P2.T6.910. Credit exposure profiles (Gregory Ch.7)

    Learning objectives: Identify factors that affect the calculation of the credit exposure profile and summarize the impact of collateral on exposure. Identify typical credit exposure profiles for various derivative contracts and combination profiles. Questions: 910.1. Consider credit exposure...
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