Estimating swap credit risk: significance of the volatility input using Monte-Carlo simulation
Since its inception in the early 1980s, the global market for swaps has grown to over $3 trillion in notional principal outstanding, leading some regulators and others to express concern about risks posed for the financial system. Notional principal, however, is not a measure of the risks of swaps....
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| Format: | Others |
| Language: | en |
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/46152 http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/ |