search query: @author Cossin, D. / total: 2
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| Author: | Cossin, D. Pirotte, H. |
| Title: | Swap credit risk: An empirical investigation on transaction data |
| Journal: | Journal of Banking and Finance
1997 : OCT, VOL. 21:10, p. 1351-1373 |
| Index terms: | CREDIT RISK DERIVATIVE SECURITIES SWAPS EMPIRICAL RESEARCH |
| Language: | eng |
| Abstract: | Swaps, the most widely used off-balance sheet derivative product are subject to credit risk as they are not traded on exchanges. This article uses actual transaction data to document the effect of credit risk on swap spreads. the analysis shows support for the presence of credit risk in swap spreads. Credit ratings appear to be a significant factor affecting swap spreads also for interest rate swaps and for currency swaps separately as well. In interest rate swaps the credit rating impact on prices seems to come largely at the determinant of the non-rated companies. Swap terms, and especially maturity also play an important role. |
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