scholarly journals EVALUATION OF INTEREST RATE RISK OF A PORTFOLIO BY A STOCHASTIC INTEREST RATE MODEL WITH A RESIME SWITCHING PROPERTY AND ITS APPLICATION TO NON-MATURITY DEPOSITS

2021 ◽  
Vol 64 (0) ◽  
pp. 46-70
Author(s):  
Yukio Muromachi
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Stochastic Interest Rate ◽  
Rate Model ◽  
Rate Risk ◽  
Stochastic Interest ◽  
Switching Property ◽  
Interest Rate Model

scholarly journals Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Anjiao Wang ◽  
Zhongxing Ye
Keyword(s):  
Interest Rate ◽  
Closed Form ◽  
Interest Rate Risk ◽  
Counterparty Risk ◽  
Rate Model ◽  
Change Of Measure ◽  
Market Interest Rate ◽  
Rate Risk ◽  
Interest Rate Model ◽  
The Interest Rate

We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest rate. The cases where default is related to the interest rate and independent of interest rate are considered. Using the methods of change of measure and the “total hazard construction,” the joint default probabilities are obtained. Furthermore, we obtain the closed-form formulas of TRS under different contagion models, respectively.

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