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Credit risk in interest rate swaps

Author

Listed:
  • Terrence M. Belton

Abstract

No abstract is available for this item.

Suggested Citation

  • Terrence M. Belton, 1987. "Credit risk in interest rate swaps," Research Papers in Banking and Financial Economics 101, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgbf:101
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    Cited by:

    1. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
    2. Duffee, Gregory R., 1996. "On measuring credit risks of derivative instruments," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
    3. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series 2003-09, Board of Governors of the Federal Reserve System (U.S.).

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