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Paper / 2000SMQ / 42056418463235
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
Liu, Jun / Longstaff, Francis A. / Mandell, Ravit E.
credit markets / credit riskResource overview

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

Paper2000

by Liu, Jun, Longstaff, Francis A., Mandell, Ravit E.

Tags
credit marketscredit riskfixed incomeinterest ratesstatistical inferenceterm structure models

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Suggested foundations for rates and fixed income and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models Explore Counterparty Credit Risk and CVA

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