Valuation of credit contingent interest rate swap with credit rating migration (Q5031189)
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scientific article; zbMATH DE number 7476523
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Valuation of credit contingent interest rate swap with credit rating migration |
scientific article; zbMATH DE number 7476523 |
Statements
Valuation of credit contingent interest rate swap with credit rating migration (English)
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18 February 2022
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credit contingent interest rates swap
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credit rating migration
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counterparty default risk
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credit risk measure
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derivative pricing model
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0.9148762822151184
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0.7796056866645813
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0.7608591914176941
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0.7510650157928467
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