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.

Statistical Data Included, Netherlands, Prices and rates, Belgium, Interest rates, Money

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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.

Capital funds & cash flow, Usage, Evaluation, Derivatives (Financial instruments), Credit, Correlation (Statistics)

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Optimal credit limit management under different information regimes

Article Abstract:

Credit limit management process in volatile financial markets is presented.

Management dynamics, Analysis, Management, Financial markets, Company business management, Uncertainty

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