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

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