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 an 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 academic database on swap transaction data.

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Year of publication:	1998
Authors:	Pirotte, Hugues ; Cossin, Didier
Institutions:	Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
Subject:	derivatives \| swaps \| credit risk \| transaction data \| model calibration

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Series:	ULB Institutional Repository.
Type of publication:	Book / Working Paper
Notes:	Published in: European financial management (1998) v.4 n° 1,p.65-77
Classification:	G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; G33 - Bankruptcy; Liquidation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011163405