Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives. This practice has been called into question by the credit crisis that started in 2007. Many banks now consider that overnight indexed swap (OIS) rates should be used as the...

Prior to 2007, derivatives practitioners used a zero curve that was bootstrapped from LIBOR swap rates to provide “risk-free” rates when pricing derivatives. In the last few years, when pricing fully collateralized transactions, practitioners have switched to using a zero curve bootstrapped...

Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk free rates when valuing derivatives. This practice has been called into question by the credit crisis that started in 2007. Many banks now consider that overnight indexed swap (OIS) rates should be used as...

The unilateral defaultable claim valuation problems have been studied extensively, but the valuation of a bilateral contingent claim with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing contingent claims, e.g., interest rate...