Potential credit exposure on interest rate swaps
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References listed on IDEAS
- Joanna Paisley, 1994. "A Model of Building Society Interest Rate Setting," Bank of England working papers 22, Bank of England.
- Paul Fisher & Juna Vega, 1993. "An Empirical Analysis of M4 in the United Kingdom," Bank of England working papers 21, Bank of England.
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Cited by:
- Duffee, Gregory R., 1996.
"On measuring credit risks of derivative instruments,"
Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
- Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
- Spears, Taylor C., 2018. "The Price of an Uncertain Promise: Fair Value Accounting and the Shaping of Bank Counterparty Risk Valuation Practices," SocArXiv kcja3, Center for Open Science.
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