Browsing BI Open by Author "Tabbech, Adrian Gullvåg"
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Risk and return characteristics of the swap spread arbitrage strategy
Tabbech, Adrian Gullvåg; Engelsgjerd, Kjetil (Master thesis, 2019)We conduct a study on the risk and return characteristics of the swap spread arbitrage strategy. Specifically, we investigate the two-year, three-year, five-year, seven-year, ten-year, and an equally-weighted swap spread ...