The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks*

• 1 September 2006
• journal article
• Published by University of Chicago Press in The Journal of Business
• Vol. 79  (5) , 2337-2359
• https://doi.org/10.1086/505237

Abstract

All Related Versions

• Version 1, 2004-01-01, RePEc (Unconfirmed version)