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The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
defaultable interest rate swap
,
bilateral defaultable claim
,
credit asymmetry
,
market models
Search term matches:
Tag
...
credit
asymmetry
...
Full Text
... -form solution gives us a better understanding of the impact of the
credit
asymmetry
on swap value, credit ...
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
bilateral defaultable derivatives
,
credit asymmetry
,
market models
,
Black model
,
LIBOR Market Model
Search term matches:
Tag
...
credit
asymmetry
...
Full Text
... of the impact of the
credit
asymmetry
on swap value, credit value adjustment, swap rate and swap spread ...
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