Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach.

Victor Fang Vincent C. S. Lee

Published in: IDEAL (2004)

Keyphrases

monte carlo simulation
monte carlo
risk analysis
markov chain
risk evaluation
risk management
financial institutions
additive model
risk assessment
comparative study
risk factors
genetic algorithm
decision support system
decision making
fraud detection
sampling rate
credit risk