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- W2070557270 abstract "In this paper, I study the valuation of interest rate and currency swaps with default risk under the contingent claim analysis framework. I demonstrate that the traditional approach of pricing swap contracts as exchanges of loans underestimates the value of such contracts to the counterparty with higher credit rating and exaggerates the credit spread required to guard against default risk. Numerical simulations show that the swap rate is not sensitive to counterparty credit rating: for a ten year interest rate swap, a one hundred basis point increase in counterparty bond yield spread results in only about one basis point increase in the swap rate." @default.
- W2070557270 created "2016-06-24" @default.
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- W2070557270 date "2002-10-12" @default.
- W2070557270 modified "2023-09-23" @default.
- W2070557270 title "Pricing of Swaps with Default Risk" @default.
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