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Presentation . 2022
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Other literature type . 2022
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Credit Contingent Interest Rate Swap Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 25 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7362947 , 10.5281/zenodo.7362946

Credit Contingent Interest Rate Swap Valuation

Abstract

A credit contingent interest rate swap is an option that grants its holder the right, but not the obligation, to enter into an interest rate swap (IRS) at the time when its reference obligor defaults. The premium to be paid on the underlying IRS is fixed in advance at some strike level. The notional amount of the swap is a function of a predetermined fixed amount and the recovery rate of the reference obligor. The model can also be employed to back out an implied correlation between the interest rate and the default arrival of an obligor.

https://ia801500.us.archive.org/15/items/cr-credit-spread-16/CrCreditSpread-16.pdf

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Credit Contingent Interest Rate Swap Valuation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
OpenAIRE UsageCountsViews provided by UsageCounts
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