Jiarui Yang

FactSet

601 Merritt 7, 3rd Floor

Norwalk, CT 06851

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