Interest rate swaps: risk and regulation
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Bibliographic InfoArticle provided by Federal Reserve Bank of Kansas City in its journal Economic Review.
Volume (Year): (1987)
Issue (Month): Mar ()
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- Gregory R. Duffee, 1994.
"On measuring credit risks of derivative instruments,"
Finance and Economics Discussion Series
94-27, Board of Governors of the Federal Reserve System (U.S.).
- Duffee, Gregory R., 1996. "On measuring credit risks of derivative instruments," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
- Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
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