This is a summary of links featured on Quantocracy on Sunday, 03/18/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Interest rate swap returns: empirical lessons [SR SV]Interest rate swaps trade duration risk across developed and emerging markets. Since 2000 fixed rate receivers have posted positive returns in 26 of 27 markets. Returns have been positively correlated across virtually all countries, even though low yield swaps correlated negatively with global equities and high-yield swaps positively. IRS returns have posted fat tails in all markets, i.e. a
