The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Geoffrey R. Harris, Tao L. Wu and Jiarui Yang
| Year of publication: |
2015
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|---|---|
| Authors: | Harris, Geoffrey R. ; Wu, Tao L. ; Yang, Jiarui |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 11.2015, 1, p. 93-127
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| Subject: | counterparty risk | over-the-counter (OTC) | derivatives | stochastic interest rate volatility | hazard rate | correlation | Kreditrisiko | Credit risk | Derivat | Derivative | Volatilität | Volatility | Zins | Interest rate | OTC-Handel | OTC market | Zinsderivat | Interest rate derivative | Theorie | Theory | Korrelation | Correlation |
| 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/10011298489