Valuation of credit contingent interest rate swap with credit rating migration
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DOI: 10.1080/00207160.2020.1713315
Abstract: ABSTRACT In this paper, a flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS) with credit rating migration is proposed, which is sensitive to stochastic interest rates and counterparty default risk. This is a… read more here.
Keywords: credit; interest rate; credit rating; rating migration ... See more keywords