FINEM LAUDA OR THE RISKS IN SWAPS

被引：8

作者：

ARTZNER, P ^{[1
]}

DELBAEN, F ^{[1
]}

机构：

[1] VRIJE UNIV BRUSSELS,B-1050 BRUSSELS,BELGIUM

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1990年 / 9卷 / 04期

关键词：

COMPENSATOR; CREDIT INSURANCE; DESCRIPTION OF RISK; EVALUATION OF RISK; INTENSITY PROCESS; INTEREST RATE RISK; MARTINGALE; OPTIMAL STOPPING; PREDICTABLE PROCESS; PREMIUM; PRICE OF RISK; RESERVE; SWAP; SWAPTION;

D O I：

10.1016/0167-6687(90)90008-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The assertion about swaps being mutually beneficial is examined. A simple example of interest rate swaps is first built, to emphasize the point overlooked in usual studies: the parties to a swap may well exchange (interest payments) default risks of different values. Fair prices of swaps and swaptions are then given, in a default free context, as well as in the case of possible default. In the latter case, credit insurance with level premiums requires the study of mathematical reserves.

引用

页码：295 / 303

页数：9