The analytic pricing of asymmetric defaultable swaps

  • Georges H
  • Published 2000

Abstract

Swaps where both parties are exposed to credit risk still lack convincing pricing mechanisms. This article presents a reduced-form model where the event of default is related to structural characteristics of each party. The cash ̄ows submitted to credit risk are identi®ed before the swap is priced. Analytical pricing formulas for interest rate and currency… (More)

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