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Interest Rate Swaps – An Exposure Analysis

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Interest Rate Swaps – An Exposure Analysis

Research Projects in Finance

The Committee on Finance Research is pleased to make available a research report that examines interest rate swaps and accompanying risk. The report was authored by Paul Ferrara and Seyed Ali Nezzamoddini.

Report

Interest Rate Swaps – An Exposure Analysis Report

Questions

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.

Thank You

The Committee would like to thank the following individuals on the Project Oversight Group for their input and review:

Robert Reitano, Chair
Mark Altschull
James Bridgeman
Angelika Feng
Kim Gordon
Wendy Guo
Robert Lamarche
Joseph Stoutenburg
Steve Siegel, SOA Research Actuary
Barbara Scott, SOA Research Administrator