The Default Risk of Swaps
分析了风险互换合约中股东、债权人和交易对手之间的财务索赔转移，推导出均衡互换利率并与债务市场利差比较，为理解互换违约风险提供理论框架。
ABSTRACT We characterize the exchange of financial claims from risky swaps. These transfers are among three groups: shareholders, debtholders, and the swap counterparty. From this analysis we derive equilibrium swap rates and relate them to debt market spreads. We then show that equilibrium swaps in perfect markets transfer wealth from shareholders to debtholders. In a simplified case, we obtain closed‐form solutions for the value of the default risk in the swap. For interest‐rate swaps, we obtain numerical solutions for the equilibrium swap rate, including default risk. We compare these with equilibrium debt market default risk spreads.