Swap Credit Risk: An Empirical Investigation on Transaction Data

Hugues Pirotte Speder and Didier Cossin

Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction data to document the effect of credit risk on swap spreads. We provide results for both interest rate and currency swaps.

Keywords: derivatives; swaps; credit risk; empirical study (search for similar items in EconPapers)
JEL-codes: G13 G15 G33 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (11)

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Journal Article: Swap credit risk: An empirical investigation on transaction data (1997)
Working Paper: Swap Credit Risk: An Empirical Investigation on Transaction Data (1997)
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