Covered interest parity deviation and counterparty default risk : U.S. Dollar/Korean Won FX swap market
Year of publication: |
September 2017
|
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Authors: | Choi, Hanbok ; Eom, Young Ho ; Jang, Woon Wook ; Kim, Don H. |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 44.2017, p. 47-63
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Subject: | Arrow-Debreu state price | Counterparty default risk | Covered interest parity | Foreign exchange risk | FX swap | USA | United States | Swap | Zinsparität | Interest rate parity | Kreditrisiko | Credit risk | Währungsderivat | Currency derivative | Theorie | Theory |
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