English, Article, Journal or magazine article edition: Swap Credit Risk: An Empirical Investigation on Transaction Data. Hugues Pirotte; Didier Cossin

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Bookmark: http://trove.nla.gov.au/version/111183
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Swap Credit Risk: An Empirical Investigation on Transaction Data.
Author
  • Hugues Pirotte
  • Didier Cossin
Physical Description
  • preprint
Notes
  • Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction data to document the effect of credit risk on swap spreads. We provide results for both interest rate and currency swaps.
  • derivatives; swaps; credit risk; empirical study
  • RePEc:sol:wpaper:97-001
Language
  • English
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