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Search results with tag "Counterparty credit risk in interest rate"
Counterparty Credit Risk in Interest Rate Swaps during ...
www.federalreserve.govCounterparty Credit Risk in Interest Rate Swaps during Times of Market Stress Antulio N. Bom m Federal Reserve Board First Draft: September 27, 2002 ... Understanding the potential role that concerns about counterparty credit ... (vanilla) form, an interest rate swap is an agreement between two parties to exchange xed and variable interest rate ...