par Pirotte, Hugues ;Cossin, Didier
Référence European financial management, 4, 1, page (65-77)
Publication Publié, 1998-03
Article révisé par les pairs
Résumé : Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in theoretical credit risk analysis. We compare the model’s analytical results to actual transaction data thanks to a unique academic database on swap transaction data.