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| Author: | Huge, B. Lando, D. |
| Title: | Swap pricing with two-sided default risk in a rating-based model |
| Journal: | European Finance Review
1999 : VOL. 3:3, p. 239-268 |
| Index terms: | Swaps market Pricing Stochastic processes Rating scales |
| Language: | eng |
| Abstract: | A method for computing swap spreads in models of default based on rating is presented. The result confirmed earlier findings that swap spreads are relatively insensitive to credit quality for interest rate swaps. |
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