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 which 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:	1997-10
Authors:	Pirotte, Hugues ; Cossin, Didier
Institutions:	Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
Subject:	Derivatives \| Swaps \| Credit risk \| Empirical study

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Series:	ULB Institutional Repository.
Type of publication:	Book / Working Paper
Notes:	Published in: Journal of banking & finance (1997) v.21 n° 10,p.1351-1373
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/10011163416