{ "response":{ "numFound":1, "start":0, "maxScore":5.9426394, "numFoundExact":true, "docs":[{ "docid":"2169144", "label_s":"Tim Xiao. The Valuation of Interest Rate Swap with Bilateral Counterparty Risk. 2019. ⟨hal-02169144⟩", "citationRef_s":"2019", "citationFull_s":"Tim Xiao. The Valuation of Interest Rate Swap with Bilateral Counterparty Risk. 2019. ⟨hal-02169144⟩", "label_bibtex":"@unpublished{xiao:hal-02169144,\n TITLE = {{The Valuation of Interest Rate Swap with Bilateral Counterparty Risk}},\n AUTHOR = {Xiao, Tim},\n URL = {https://hal.science/hal-02169144},\n NOTE = {working paper or preprint},\n YEAR = {2019},\n MONTH = Jun,\n KEYWORDS = {defaultable interest rate swap ; bilateral defaultable claim ; credit asymmetry ; market models ; Black model ; LIBOR market model ; reduced-form model ; credit value adjustment ; swap spread},\n PDF = {https://hal.science/hal-02169144v1/file/defaultable-swap-valuation-11.pdf},\n HAL_ID = {hal-02169144},\n HAL_VERSION = {v1},\n}\n", "label_endnote":"%0 Unpublished work\n%T The Valuation of Interest Rate Swap with Bilateral Counterparty Risk\n%+ University of Toronto\n%A Xiao, Tim\n%8 2019-06-30\n%D 2019\n%K defaultable interest rate swap\n%K bilateral defaultable claim\n%K credit asymmetry\n%K market models\n%K Black model\n%K LIBOR market model\n%K reduced-form model\n%K credit value adjustment\n%K swap spread\n%Z Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]\n%Z Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]\n%Z Quantitative Finance [q-fin]/Risk Management [q-fin.RM]Preprints, Working Papers, ...\n%X This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.\n%G English\n%2 https://hal.science/hal-02169144v1/document\n%2 https://hal.science/hal-02169144v1/file/defaultable-swap-valuation-11.pdf\n%L hal-02169144\n%U https://hal.science/hal-02169144\n%~ AO-ECONOMIE\n", "label_coins":"", "openAccess_bool":true, "jel_s":["G.G1.G12","G.G1.G13","G.G1.G17"], "domainAllCode_s":["qfin.cp","qfin.pr","qfin.rm"], "level0_domain_s":["qfin","qfin","qfin"], "domain_s":["0.qfin","1.qfin.cp","0.qfin","1.qfin.pr","0.qfin","1.qfin.rm"], "level1_domain_s":["qfin.cp","qfin.pr","qfin.rm"], "fr_domainAllCodeLabel_fs":["qfin.cp_FacetSep_Économie et finance quantitative [q-fin]/Finance quantitative [q-fin.CP]","qfin.pr_FacetSep_Économie et finance quantitative [q-fin]/Pricing [q-fin.PR]","qfin.rm_FacetSep_Économie et finance quantitative [q-fin]/Gestion des risques [q-fin.RM]"], "en_domainAllCodeLabel_fs":["qfin.cp_FacetSep_Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]","qfin.pr_FacetSep_Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]","qfin.rm_FacetSep_Quantitative Finance [q-fin]/Risk Management [q-fin.RM]"], "es_domainAllCodeLabel_fs":["qfin.cp_FacetSep_Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]","qfin.pr_FacetSep_Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]","qfin.rm_FacetSep_Quantitative Finance [q-fin]/Risk Management [q-fin.RM]"], "eu_domainAllCodeLabel_fs":["qfin.cp_FacetSep_domain_qfin/domain_qfin.cp","qfin.pr_FacetSep_domain_qfin/domain_qfin.pr","qfin.rm_FacetSep_domain_qfin/domain_qfin.rm"], "primaryDomain_s":"qfin.cp", "en_title_s":["The Valuation of Interest Rate Swap with Bilateral Counterparty Risk"], "title_s":["The Valuation of Interest Rate Swap with Bilateral Counterparty Risk"], "en_keyword_s":["Defaultable interest rate swap","Bilateral defaultable claim","Credit asymmetry","Market models","Black model","LIBOR market model","Reduced-form model","Credit value adjustment","Swap spread"], "keyword_s":["Defaultable interest rate swap","Bilateral defaultable claim","Credit asymmetry","Market models","Black model","LIBOR market model","Reduced-form model","Credit value adjustment","Swap spread"], "abstract_s":["This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread."], "en_abstract_s":["This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread."], "authIdFormPerson_s":["1372773-0"], "authIdForm_i":[1372773], "authIdPerson_i":[0], "authLastName_s":["Xiao"], "authFirstName_s":["Tim"], "authFullName_s":["Tim Xiao"], "authLastNameFirstName_s":["Xiao Tim"], "authIdLastNameFirstName_fs":["0_FacetSep_Xiao Tim"], "authFullNameIdFormPerson_fs":["Tim Xiao_FacetSep_1372773-0"], "authAlphaLastNameFirstNameId_fs":["X_AlphaSep_Xiao Tim_FacetSep_0"], "authIdFullName_fs":["0_FacetSep_Tim Xiao"], "authFullNameId_fs":["Tim Xiao_FacetSep_0"], "authQuality_s":["aut"], "authFullNameFormIDPersonIDIDHal_fs":["Tim Xiao_FacetSep_1372773-0_FacetSep_"], "authFullNamePersonIDIDHal_fs":["Tim Xiao_FacetSep_0_FacetSep_"], "authIdHalFullName_fs":["_FacetSep_Tim Xiao"], "authFullNameIdHal_fs":["Tim Xiao_FacetSep_"], "authAlphaLastNameFirstNameIdHal_fs":["X_AlphaSep_Xiao Tim_FacetSep_"], "authLastNameFirstNameIdHalPersonid_fs":["Xiao Tim_FacetSep__FacetSep_0"], "authIdHasPrimaryStructure_fs":["1372773-0_FacetSep_Tim Xiao_JoinSep_300722_FacetSep_University of Toronto"], "structPrimaryHasAuthId_fs":["300722_FacetSep_University of Toronto_JoinSep_1372773-0_FacetSep_Tim Xiao"], "structPrimaryHasAuthIdHal_fs":["300722_FacetSep_University of Toronto_JoinSep__FacetSep_Xiao Tim"], "structPrimaryHasAlphaAuthId_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep_1372773-0_FacetSep_Xiao Tim"], "structPrimaryHasAlphaAuthIdHal_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep__FacetSep_Xiao Tim"], "structPrimaryHasAlphaAuthIdHalPersonid_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep__FacetSep_0_FacetSep_Xiao Tim"], "authIdHasStructure_fs":["1372773-0_FacetSep_Tim Xiao_JoinSep_300722_FacetSep_University of Toronto"], "structHasAuthId_fs":["300722_FacetSep_University of Toronto_JoinSep_1372773-0_FacetSep_Tim Xiao"], "structHasAuthIdHal_fs":["300722_FacetSep_University of Toronto_JoinSep__FacetSep_Xiao Tim"], "structHasAuthIdHalPersonid_s":["300722_FacetSep_University of Toronto_JoinSep__FacetSep_0_FacetSep_Xiao Tim"], "structHasAlphaAuthId_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep_1372773-0_FacetSep_Xiao Tim"], "structHasAlphaAuthIdHal_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep__FacetSep_Xiao Tim"], "structHasAlphaAuthIdHalPersonid_fs":["X_AlphaSep_300722_FacetSep_University of Toronto_JoinSep__FacetSep_0_FacetSep_Xiao Tim"], "rgrpInstStructId_i":[300722], "rgrpInstStructIdName_fs":["300722_FacetSep_University of Toronto"], "rgrpInstStructNameId_fs":["U_AlphaSep_University of Toronto_FacetSep_300722"], "rgrpInstStructName_fs":["U_AlphaSep_University of Toronto"], "rgrpInstStructName_s":["University of Toronto"], "rgrpInstStructAddress_s":["27 King's College Circle, Toronto M5S 1A1"], "rgrpInstStructCountry_s":["ca"], "rgrpInstStructType_s":["regroupinstitution"], "rgrpInstStructValid_s":["VALID"], "rgrpInstStructRorIdExt_s":["https://ror.org/03dbr7087"], "rgrpInstStructRorIdExtUrl_s":["https://ror.org/03dbr7087"], "structId_i":[300722], "structIdName_fs":["300722_FacetSep_University of Toronto"], "structNameId_fs":["U_AlphaSep_University of Toronto_FacetSep_300722"], "structName_fs":["U_AlphaSep_University of Toronto"], "structName_s":["University of Toronto"], "structAddress_s":["27 King's College Circle, Toronto M5S 1A1"], "structCountry_s":["ca"], "structType_s":["regroupinstitution"], "structValid_s":["VALID"], "structRorIdExt_s":["https://ror.org/03dbr7087"], "structRorIdExtUrl_s":["https://ror.org/03dbr7087"], "contributorId_i":631289, "contributorFullName_s":"Tim Xiao", "contributorIdFullName_fs":"631289_FacetSep_Tim Xiao", "contributorFullNameId_fs":"Tim Xiao_FacetSep_631289", "language_s":["en"], "halId_s":"hal-02169144", "uri_s":"https://hal.science/hal-02169144v1", "version_i":1, "status_i":11, "instance_s":"hal", "sid_i":1, "submitType_s":"file", "docType_s":"UNDEFINED", "oldDocType_s":"UNDEFINED", "thumbId_i":8481219, "selfArchiving_bool":false, "length_i":0, "inPress_bool":false, "modifiedDate_tdate":"2025-02-24T15:24:03Z", "modifiedDate_s":"2025-02-24 15:24:03", "modifiedDateY_i":2025, "modifiedDateM_i":2, "modifiedDateD_i":24, "submittedDate_tdate":"2019-06-30T19:46:37Z", "submittedDate_s":"2019-06-30 19:46:37", "submittedDateY_i":2019, "submittedDateM_i":6, "submittedDateD_i":30, "releasedDate_tdate":"2019-07-04T13:45:04Z", "releasedDate_s":"2019-07-04 13:45:04", "releasedDateY_i":2019, "releasedDateM_i":7, "releasedDateD_i":4, "producedDate_tdate":"2019-06-30T00:00:00Z", "producedDate_s":"2019-06-30", "producedDateY_i":2019, "producedDateM_i":6, "producedDateD_i":30, "publicationDate_tdate":"2019-06-30T00:00:00Z", "publicationDate_s":"2019-06-30", "publicationDateY_i":2019, "publicationDateM_i":6, "publicationDateD_i":30, "owners_i":[631289], "collId_i":[1218], "collName_s":["Archives ouvertes de l'Economie"], "collCode_s":["AO-ECONOMIE"], "collCategory_s":["THEME"], "collIdName_fs":["1218_FacetSep_Archives ouvertes de l'Economie"], "collNameId_fs":["Archives ouvertes de l'Economie_FacetSep_1218"], "collCodeName_fs":["AO-ECONOMIE_FacetSep_Archives ouvertes de l'Economie"], "collCategoryCodeName_fs":["THEME_JoinSep_AO-ECONOMIE_FacetSep_Archives ouvertes de l'Economie"], "collNameCode_fs":["Archives ouvertes de l'Economie_FacetSep_AO-ECONOMIE"], "fileMain_s":"https://hal.science/hal-02169144/document", "licence_s":"https://about.hal.science/hal-authorisation-v1/", "files_s":["https://hal.science/hal-02169144/file/defaultable-swap-valuation-11.pdf"], "fileLicenses_s":["https://about.hal.science/hal-authorisation-v1/"], "fileType_s":["file"], "isDoublon_bool":false, "_version_":1858717118010228736, "dateLastIndexed_tdate":"2026-03-04T07:52:56.931Z", "label_xml":" HAL TEI export of hal-02169144 CCSD CC0 1.0 - Universal

HAL API Platform

 The Valuation of Interest Rate Swap with Bilateral Counterparty Risk Tim Xiao 1372773-0 Tim Xiao f3c4eccc74544daebe2bc0f9f9450f4c yahoo.com 2019-06-30 19:46:37 2025-02-24 15:24:03 2019-07-04 13:45:04 2019-06-30 2019-06-30 contributor Tim Xiao f3c4eccc74544daebe2bc0f9f9450f4c yahoo.com CCSD hal-02169144 https://hal.science/hal-02169144 xiao:hal-02169144 2019 2019 HAL Authorization Archives ouvertes de l'Economie The Valuation of Interest Rate Swap with Bilateral Counterparty Risk Tim Xiao 1372773-0 English defaultable interest rate swap bilateral defaultable claim credit asymmetry market models Black model LIBOR market model reduced-form model credit value adjustment swap spread G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR] Quantitative Finance [q-fin]/Risk Management [q-fin.RM] Preprints, Working Papers, ... Preprints, Working Papers, ... Preprints, Working Papers, ...

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.

 https://ror.org/03dbr7087 University of Toronto 1827-01-01
27 King's College Circle, Toronto M5S 1A1
http://www.utoronto.ca/ " }] } }