CUCHET, ROMAIN; FRANÇOIS, PASCAL; HÜBNER, GEORGES - In: Quantitative Finance 13 (2013) 7, pp. 1135-1148
<title>Abstract</title> Currency total return swaps (CTRS) are hybrid derivative instruments that allow us to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. An empirical test on a sample of 23,005 price observations from 59 underlying...