Difference between revisions of "Swap spread risk"

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* [[Gilts]]
 
* [[Gilts]]
 
* [[Interest rate swap]]
 
* [[Interest rate swap]]
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* [[Swap rate]]
 
* [[Swap spread]]
 
* [[Swap spread]]
 
* [[Yield]]
 
* [[Yield]]

Revision as of 09:25, 13 November 2016

Swap spread risk is the risk of an adverse change in swap spreads.

For example, where interest rate swaps are used to hedge gilts, an adverse change in the spread between gilt yields and related swap rates.


See also