Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Ayoub Gargouri, Van Son Lai, and Issouf Soumaré
| Year of publication: |
2017
|
|---|---|
| Authors: | Gargouri, Ayoub ; Lai, Van Son ; Soumaré, Issouf |
| Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 26.2017, 3, p. 63-80
|
| Subject: | Theorie | Theory | Zinsderivat | Interest rate derivative | Risiko | Risk | Kreditrisiko | Credit risk | Swap | Diskontierung | Discounting | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011684745