Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Year of publication: |
2017
|
---|---|
Authors: | Gargouri, Ayoub ; Lai, Van Son ; Soumaré, Issouf |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 26.2017, 3, p. 63-80
|
Subject: | Theorie | Theory | Kreditrisiko | Credit risk | Swap | Zinsderivat | Interest rate derivative | Risiko | Risk |
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