swap (CDS) spread as our measure of credit risk. Also, we control for the variation in the fair-value spread that combines …. Furthermore, we empirically find that the swap interest rate variables convey material information about CDS spread movements … important implications for the parameterization of interest rate dynamics in the Monte Carlo simulation of economic capital for …

), especially on US and European markets. To understand how swap pricing works, we estimate IRS valuation models for the US, German … and French swap markets. On one hand, we derive swap rate from the market value of the swap contract formula. On the other … hand, questioning the role of default credit risk in valuing the swap contract, we show that the swap rate can be expressed …

performance - as potential drivers of deviations from CIP. Employing data on G10 cross-currency basis swap spreads viz a viz the U …