Swap credit risk: An empirical investigation on transaction data
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- Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001, ULB -- Universite Libre de Bruxelles.
References listed on IDEAS
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- Niffikeer, Cindy I. & Hewins, Robin D. & Flavell, Richard B., 2000. "A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1903-1932, December.
- Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
- Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
- Thomas Schroeder & Kwamie Dunbar, 2010.
"Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads,"
2010-05, University of Connecticut, Department of Economics.
- Schröder, Thomas & Dunbar, Kwamie, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers 2010001, Sacred Heart University, John F. Welch College of Business.
- Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
- 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.
- Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
- 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.
More about this item
- 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
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