Counterparty credit risk in interest rate swaps during times of market stress
By: Antulio N. Bomfim.
Series: Finance and economics discussion series ;; 2003-09; Finance and economics discussion series (Online) ;; 2003-09.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper examines whether empirical and theoretical results suggesting a relatively small role for counterparty credit risk in the determination of interest rate swap rates hold during periods of stress in the financial markets, such as the chain of events that followed the Russian default crisis of 1998.  The analysis sheds light on the robustness of netting and credit enhancement mechanisms, which are common in interest rate swaps, to widespread turmoil in the financial markets"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 7/29/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.