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Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk, and OIS Discounting
Journal of Fixed Income, 2016A. Gargouri +2 more
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Potential credit exposure on interest rate swaps [PDF]
, 1994 An analytical analogue to the Monte Carlo techniques previously used by banking supervisors to assess the potential credit exposure of interest rate swaps is developed, which permits a more thorough examination of swap exposure. This is done by using the Cox, Ingersoll and Ross (1985) one-factor model of the yield curve to generate interest rate paths ...
Ian Bond, Gareth Murphy, Gary Robinson
openaire
How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer
, 2017N. Burgess
semanticscholar +1 more source
Overnight Indexed Swap-Implied Interest Rate Expectations
, 2020Simon P. Lloyd
semanticscholar +1 more source
Spillovers of international interest rate swap markets and stock market volatility
, 2016Hsiu‐Chuan Lee +2 more
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An Econometric Model of the Term Structure of Interest-Rate Swap Yields
, 1997D. Duffie, K. Singleton
semanticscholar +1 more source
Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
, 2017Shih-Kuei Lin +3 more
semanticscholar +1 more source
Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation
, 2015Donald J. Smith
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