Swap Rates and Credit Quality

• 1 July 1996
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 51  (3) , 921-949
• https://doi.org/10.2307/2329227

Abstract

Keywords

• LIABILITY
• SWAPS
• CREDIT QUALITY
• SWAP RATES
• ASYMMETRY
• VALUING CLAIMS
• COUNTERPARTY
• DISCOUNT RATE
• SWITCHING DISCOUNT