𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The risk of a currency swap: a multivariate-binomial methodology

✍ Scribed by T.S. Ho; Richard C. Stapleton; Marti G. Subrahmanyam

Book ID
108559554
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
215 KB
Volume
4
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The credit risk components of a swap por
The credit risk components of a swap portfolio
✍ 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