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Credit risk exposure with interest and currency swaps

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  • Coppes, Robert Christophor
  • Stokking, Evert Jan

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  • Coppes, Robert Christophor & Stokking, Evert Jan, 1996. "Credit risk exposure with interest and currency swaps," European Journal of Operational Research, Elsevier, vol. 91(2), pages 338-345, June.
    • Handle: RePEc:eee:ejores:v:91:y:1996:i:2:p:338-345
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    References listed on IDEAS

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    1. Hull, John, 1989. "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 489-501, December.
    2. J. Gregg Whittaker, 1987. "Pricing interest rate swaps in an options pricing framework," Research Working Paper 87-02, Federal Reserve Bank of Kansas City.
    3. Coppes, R. C., 1995. "Are exchange rate changes normally distributed?," Economics Letters, Elsevier, vol. 47(2), pages 117-121, February.
    4. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
    5. Wolff, Christian C. P., 1988. "Exchange rates, innovations and forecasting," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 49-61, March.
    6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    7. Thomas C. Chiang, 1986. "Empirical Analysis On The Predictors Of Future Spot Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 153-162, June.
    8. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-948, September.
    9. Katerina Simons, 1989. "Measuring credit risk in interest rate swaps," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 29-38.
    10. Wolff, Christian C P, 1987. "Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 87-97, January.
    11. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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