Articles

Swap pricing and default risk

B. SOLNIK

Journal of International Financial Management and Accounting

1990, vol. 2, pp.79-91

Départements : Finance


Analyzes a risky price swap between a bank and a risky customer. Interest rate swap; Currency swap; Equilibrium price of the risky swap; Required markup for a swap; Relation between the fair value of the swap markup and the yield spread on a straight loan to a similar risky client


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