Currency Total Return Swaps: Valuation and Risk Factor Analysis
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- Romain Cuchet & Pascal François & Georges Hübner, 2013. "Currency total return swaps: valuation and risk factor analysis," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1135-1148, February.
References listed on IDEAS
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More about this item
KeywordsCredit derivative; credit risk; currency risk;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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