The purpose of this article is to explain the spread between rates on corporate and
government bonds. We show that expected default accounts for a surprisingly small fraction …

The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …

This article develops a multi‐factor econometric model of the term structure of interest‐rate
swap yields. The model accommodates the possibility of counterparty default, and any …

This book offers an introduction to wavelet theory and provides the essence of wavelet
analysis OCo including Fourier analysis and spectral analysis; the maximum overlap …

We study how the market prices the default and liquidity risks incorporated into interest rate
swap spreads. We jointly model the Treasury, repo, and swap term structures using a five …

This paper examines empirical implications of recently developed models for pricing
contracts that swap fixed-for variable-rate interest payment streams. Valuation models based …

We assess the ability of the factors proposed in previous research to account for the
stochastic evolution of the term structure of the US and UK swap spreads. Using as factor …

Swap spreads, the interest rate differentials between the fixed rates on fixed-for-floating
swap contracts and the yeilds-to-maturity on maturity-matched government bonds, define a …

This paper analyzes the pricing of defaultable securities in rating based models where the
default of more than one agent is involved. We extend the model of Duffie and Huang (1996) …

This article contains both a theoretical and an empirical analysis of the components of
interest rate swap spreads defined as the difference between the fixed swap rate and the …