![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
Constant maturity asset swap convexity correction
The current high volatility in government bond markets may lead investors to try to hedge their exposure to floating-asset swap spreads. Mario Pucci obtains an analytical convexity correction for the asset swap spread that is useful for pricing constant maturity asset swaps
![cutting-edge-pic-5 cutting-edge-pic-5](/sites/default/files/styles/landscape_750_463/public/import/IMG/127/214127/cutting-edge-pic-5-580x358.jpg.webp?itok=a9ubK0Cx)
Most financial market players trade in government bond markets. For example, European financial institutions are heavily exposed to long positions in sovereign debt to raise funding at European Central Bank rates, and pension funds traditionally include Treasury bonds in their asset portfolio to obtain cashflows offsetting their liabilities. More generally, sovereign debt has always been seen as a safe haven for investors seeking an acceptable yield at relatively low risk, while the interbank
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Coex Partners hires former Citi head of FX Apac sales
Matt Long joins Coex in Singapore to oversee FX execution and trading strategy for regional clients
FX venues improve ‘stickiness’, Citi review finds
Improvements in tech stability, execution quality and bespoke services appease users
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Covid halted variance trading. Can Cboe revive the market?
With liquidity in variance swaps drying up, traders may finally be ready to give futures a shot
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Survey: FX swaps e-trading sees greater client sophistication
BofA study shows increasing electronic trading of derivatives as users embrace MDPs and APIs