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Swap Credit Risk: An Empirical Investigation on Transaction Data.

par Pirotte, Hugues ;Cossin, Didier
Référence Journal of banking & finance, 21, 10, page (1351-1373)
Publication Publié, 1997-10

Article révisé par les pairs

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Résumé :

Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know which uses actual transaction data to document the effect of credit risk on swap spreads. We provide results for both interest rate and currency swaps.