How well do classical credit risk pricing models fit swap transaction data?

• 1 March 1998
• journal article
• Published by Wiley in European Financial Management
• Vol. 4  (1) , 65-77
• https://doi.org/10.1111/1468-036x.00054

Abstract

Keywords

• DERIVATIVES
• SWAPS
• CREDIT RISK
• TRANSACTION DATA
• MODEL CALIBRATION.

All Related Versions

• Version 1, RePEc (Unconfirmed version)