How well do classical credit risk pricing models fit swap transaction data?
实现了一个近期信用风险定价模型，利用独特的互换交易数据库，将模型分析结果与实际交易数据对比，以评估理论信用风险分析的主要研究方向。
Currency and interest rate swaps are subject to a complex, two‐sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in theoretical credit risk analysis. We compare the model's analytical results to actual transaction data thanks to a unique academic database on swap transaction data.