𝔖 Bobbio Scriptorium
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Credit Risk Exposure with Currency Swaps

✍ Scribed by Robert Christophor Coppes

Book ID
108559538
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
421 KB
Volume
3
Category
Article
ISSN
1354-7798

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πŸ“œ SIMILAR VOLUMES

The credit risk components of a swap por
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✍ Georges HΓΌbner πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## Abstract Thanks to the recent development of analytical pricing models for swaps with bilateral credit risk, a comprehensive analysis of the dimensions of default risk has become possible. Using the model developed by HΓΌbner (2001) for IRS and CS, this article investigates the impact of structur