How can interest rate swap be used to reduce the duration of portfolio to match the duration of a benchmark?
Answer to relevant QuestionsComment on the following statement: Credit risk is more than the risk that an issuer will default. A portfolio manager buys a swaption with a strike rate of 4.5% that entitles the portfolio manager to enter into an interest-rate swap to pay a fixed-rate and receives a floating rate. The term of the swaption is five ...For a CDS with the following terms, indicate the quarterly premium payment by filling in the below exhibit. Answer the below questions. (a) Explain how a single-name CDS can be used by a portfolio manager who wants to short a reference entity. (b) Explain how a single-name CDS can be used by a portfolio manager who is having ...Comment on the following statement: “Restructuring is included in credit default swaps and therefore the reduction in a reference obligation’s interest rate will result in the triggering of a payout. This exposes the ...
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