Swap Rates and Credit Quality
建立了一个模型，用于评估双方都可能违约的合约（如互换和远期）的价值。通过理论和数值例子，展示了信用风险不对称和净额结算对互换定价的影响。
ABSTRACT This article presents a model for valuing claims subject to default by both contracting parties, such as swaps and forwards. With counterparties of different default risk, the promised cash flows of a swap are discounted by a switching discount rate that, at any given state and time, is equal to the discount rate of the counterparty for whom the swap is currently out of the money (that is, a liability). The impact of credit‐risk asymmetry and of netting is presented through both theory and numerical examples, which include interest rate and currency swaps.