Swap Credit Risk: An Empirical Investigation on Transaction Data.

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.

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Year of publication:	1997
Authors:	Pirotte, Hugues ; Cossin, Didier
Institutions:	Centre Emile Bernheim, Solvay Brussels School of Economics and Management
Subject:	derivatives \| swaps \| credit risk \| empirical study

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Series:	Working Papers CEB.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series Working papers CEB
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/10005558895