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Swap Credit Risk: An Empirical Investigation on Transaction Data

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Author Info
Hugues Pirotte () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels)
Didier Cossin (HEC , Université de Lausanne, Suisse.)

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Abstract

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 of that 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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File URL: http://www.solvay.edu/EN/Research/Bernheim/documents/wp97001.pdf
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File Function: First version, 1997
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Publisher Info
Paper provided by Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 97-001.RS.

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Date of creation: Oct 1997
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Handle: RePEc:sol:wpaper:97-001

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Related research
Keywords: derivatives; swaps; credit risk; empirical study;

Other versions of this item:

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

Cited by:
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  1. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  2. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Documents de Travail 65, Banque de France. [Downloadable!]
  3. SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000. "On the term structure of default premia in the Swap and Libor markets," Les Cahiers de Recherche 704, HEC Paris. [Downloadable!]
  4. Takayasu Ito, 2007. "The analysis of interest rate swap spreads in Japan," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 1-4, January. [Downloadable!] (restricted)
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