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• The Valuation of Interest Rate Swap with Bilateral Counterparty Risk

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  defaultable interest rate swap, bilateral defaultable claim, credit asymmetry, market models

  Search term matches:

  Tag

  ... credit asymmetry ...

  Full Text

  ... -form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit ...

  
  

• Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  bilateral defaultable derivatives, credit asymmetry, market models, Black model, LIBOR Market Model

  Search term matches:

  Tag

  ... credit asymmetry ...

  Full Text

  ... of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread ...

  
  

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