Geoffrey Harris

Federal Reserve Bank of Chicago

230 South LaSalle Street

Chicago, IL 60604

United States

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The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate Derivatives

Journal of Credit Risk, Vol. 11, No. 1, 2015
Number of pages: 36 Posted: 16 Jun 2016
Jiarui Yang, Tao L. Wu and Geoffrey Harris
FactSet, Illinois Institute of Technology and Federal Reserve Bank of Chicago
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Abstract:

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counterparty risk, over-the-counter (OTC) derivatives, stochastic interest rate volatility, hazard rate, correlation