Arbeitspapier
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.
- Sprache
-
Englisch
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Asset Pricing; Trading Volume; Bond Interest Rates
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Bankruptcy; Liquidation
General Financial Markets: Government Policy and Regulation
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
defaultable interest rate swap
bilateral defaultable claim
credit asymmetry
market models
Black model
LIBOR market model
reduced-form model
credit value adjustment
swap spread
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Xiao, Tim
- Ereignis
-
Veröffentlichung
- (wer)
-
FinPricing
- (wo)
-
Toronto
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Xiao, Tim
- FinPricing
Entstanden
- 2017
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