How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

Currency and interest rate swaps are subject to a complex, two sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate one of the main lines of research in theoretical credit risk analysis. We compare the model's analytical results to actual transaction data thanks to a unique database on swap transaction data

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Year of publication:	[2001]
Authors:	Cossin, Didier
Other Persons:	Pirotte, Hugues (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: EUROPEAN FINANCIAL MANAGEMENT, 1998 Volltext nicht verfügbar
Classification:	G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; G33 - Bankruptcy; Liquidation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012788418