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Managing a Bank Credit Portfolio: A Practical Standpoint

✍ Scribed by Marco G. Mazzucchelli

Book ID
108557567
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
349 KB
Volume
29
Category
Article
ISSN
0391-5026

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## 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