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Author: | Collin-Dufresne, P. Solnik, B. |
Title: | On the term structure of default premia in the swap and LIBOR markets |
Journal: | Journal of Finance
2001 : JUN, VOL. 56:3, p. 1095-1115 |
Index terms: | Swaps market Futures markets Bonds Money markets |
Language: | eng |
Abstract: | The authors propose a model of the default risk imbedded in the swap term structure that is able to explain the LIBOR-swap spread. Wheareas corporate bonds carry default risk, the authors argue that swap contracts are free of default risk. |
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