【摘要】 在或有债权的分析框架下 ,对具有违约风险的利率互换定价进行探讨 ,证明将利率互换合约定价等价于固定利率和浮动利率贷款交换价值度量这一传统方法高估了互换利率价格 ,低估高信用等级交易对手的合约价值而放大了利率互换合约的信用利差。更多还原

【Abstract】 This paper studies the pricing of interest rate swap with default risk under a contingent claims analysis framework. It proves that the traditional approach of pricing interest rate swap contracts as exchanges of loans overvalue the interest price, undervalue the contract to the counterpart with higher credit rating and exaggerates the credit spread required to guard default risk.更多还原