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Mathematics-in-Industry Case Studies

Table 9 Comparison of the one-default and two-default cases over a range of credit ratings

From: Credit contingent interest rate swap pricing

Rating

One-default

Two-default

AAA

303.76

310.24

AA

632.60

661.51

A

822.47

875.13

BBB

1,215.01

1,330.24

BB

2,548.34

3,185.29

B

4,224.85

6,964.76

  1. (maturity =10, K =0.01)
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