Credit Arbitrage Model of Swaps
Swap market is one of most rapidly growing financial product markets. However, the profit allocation system of swaps in the international world is far from sound and the flow of arbitrage with swaps has not been theorized. Therefore, this paper has designed a sound program to allocate the profit between the parties to the swap, and has proposed a credit arbitrage model of swaps, which includes detailed process of arbitrage, sound profit allocating program, law of cost and forms of swaps. This paper has elaborated the model in the form of calculation. The clear steps and simple calculation method make it easy to seek solutions through equations. Finally, this paper has, through case-study, proved the practicability of the model and demonstrated that the company with a high credit rating can gain corresponding compensation by virtue of its credit advantage.
Zhang Rengui Xia Qiuhui
Department of Economics,Songtian College of Guangzhou University,Guangzhou,P.R.China,511370
国际会议
The 7th International Conference on Innovation and Management(第七届创新与管理国际会议 ICIM 2010)
武汉
英文
788-792
2010-12-04（万方平台首次上网日期，不代表论文的发表时间）