The analytic pricing of asymmetric defaultable swaps
Article Abstract:
This paper presents a reduced-form model where pricing formulas for interest rate and currency swaps are computed and where benefits from netting depend on the balance between valuations of exposures and market conditions.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
Statistical Data Included, Netherlands, Prices and rates, Belgium, Interest rates, Money
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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An approximation method for analysis and valuation of credit correlation derivatives
Article Abstract:
Credit correlation derivatives and the usage of approximation method for valuation and analyzing these correlations is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Capital funds & cash flow, Usage, Evaluation, Derivatives (Financial instruments), Credit, Correlation (Statistics)
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Optimal credit limit management under different information regimes
Article Abstract:
Credit limit management process in volatile financial markets is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Management dynamics, Analysis, Management, Financial markets, Company business management, Uncertainty
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Subjects list: Methods, Valuation, Credit management, United States
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