How well do classical credit risk pricing models fit swap transaction data?

Hugues Pirotte Speder and Didier Cossin

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in theoretical credit risk analysis. We compare the model’s analytical results to actual transaction data thanks to a unique academic database on swap transaction data.

Keywords: derivatives; swaps; credit risk; transaction data; model calibration (search for similar items in EconPapers)
JEL-codes: G13 G15 G33 (search for similar items in EconPapers)
Date: 1998-03
Note: FLWIN
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in: European financial management (1998) v.4 n° 1,p.65-77

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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/191829

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