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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …
Persistent link: https://www.econbiz.de/10010358352
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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Pricing catastrophe swaps with default risk and stochastic interest rates
Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013332712
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Demand-and-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - In: Journal of financial economics 154 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015072199
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Breakdown of covered interest parity : mystery or myth?
Wong, Alfred Y.; Zhang, Jiayue - 2018
that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …
Persistent link: https://www.econbiz.de/10011791979
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Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568
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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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Implications of Implicit Credit Spread Volatilities on Interest Rate Modelling
Fanelli, Viviana - 2017
functions affect interest rate curve modelling and asset pricing, we develop a model to estimate basis swap prices through the …
Persistent link: https://www.econbiz.de/10012958977
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The Effects of the Spread Risk in Terms of Basis Points From Changes in the Market Prices of Callable Bond Future Due to Credit Risk : Evidence From the Twist Effect of the Yield C...
Guirguis, Michel - 2021
In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...
Persistent link: https://www.econbiz.de/10013232222