September 1, 2006

The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks*

JLJun LiuChongqing University of Posts and Telecommunications FLFrancis A. LongstaffUniversity of California, Los Angeles RMRavit E. MandellCitigroup

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Abstract

Jun Liu, Francis A. Longstaff, Ravit E. Mandell, The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks, The Journal of Business, Vol. 79, No. 5 (September 2006), pp. 2337-2359

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Liu et al. (Fri,) studied this question.

synapsesocial.com/papers/6a11d60b45487b7639a5673b https://doi.org/https://doi.org/10.1086/505237

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