Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach

Victor K F Fang; Vincent Cheng Siong Lee

doi:10.1007/b99975

Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach

Victor K F Fang, Vincent Cheng Siong Lee

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

Original language	English
Title of host publication	Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004)
Editors	Zheng Rong Yang, Richard Everson, Hujun Yin
Place of Publication	Germany
Publisher	Springer-Verlag London Ltd.
Pages	780 - 787
Number of pages	8
Volume	3177
ISBN (Print)	0302-9743
DOIs	https://doi.org/10.1007/b99975
Publication status	Published - 2004
Event	International Conference on Intelligent Data Engineering and Automated Learning 2004 - Exeter United Kingdom, Berlin Germany Duration: 1 Jan 2004 → …

Conference

Conference	International Conference on Intelligent Data Engineering and Automated Learning 2004
City	Berlin Germany
Period	1/01/04 → …

Access to Document

10.1007/b99975

Cite this

Fang, V. K. F., & Lee, V. C. S. (2004). Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. In Z. R. Yang, R. Everson, & H. Yin (Eds.), Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004) (Vol. 3177, pp. 780 - 787). Springer-Verlag London Ltd.. https://doi.org/10.1007/b99975

Fang, Victor K F ; Lee, Vincent Cheng Siong. / Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004). editor / Zheng Rong Yang ; Richard Everson ; Hujun Yin. Vol. 3177 Germany : Springer-Verlag London Ltd., 2004. pp. 780 - 787

@inproceedings{04b87f888f774f1eb7f00b55b52c0605,

title = "Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach",

author = "Fang, {Victor K F} and Lee, {Vincent Cheng Siong}",

year = "2004",

doi = "10.1007/b99975",

language = "English",

isbn = "0302-9743",

volume = "3177",

pages = "780 -- 787",

editor = "Yang, {Zheng Rong} and Richard Everson and Hujun Yin",

booktitle = "Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004)",

publisher = "Springer-Verlag London Ltd.",

address = "Germany",

note = "International Conference on Intelligent Data Engineering and Automated Learning 2004 ; Conference date: 01-01-2004",

}

Fang, VKF & Lee, VCS 2004, Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. in ZR Yang, R Everson & H Yin (eds), Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004). vol. 3177, Springer-Verlag London Ltd., Germany, pp. 780 - 787, International Conference on Intelligent Data Engineering and Automated Learning 2004, Berlin Germany, 1/01/04. https://doi.org/10.1007/b99975

Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. / Fang, Victor K F; Lee, Vincent Cheng Siong.

Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004). ed. / Zheng Rong Yang; Richard Everson; Hujun Yin. Vol. 3177 Germany : Springer-Verlag London Ltd., 2004. p. 780 - 787.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

TY - GEN

T1 - Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach

AU - Fang, Victor K F

AU - Lee, Vincent Cheng Siong

PY - 2004

Y1 - 2004

U2 - 10.1007/b99975

DO - 10.1007/b99975

M3 - Conference Paper

SN - 0302-9743

VL - 3177

SP - 780

EP - 787

BT - Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004)

A2 - Yang, Zheng Rong

A2 - Everson, Richard

A2 - Yin, Hujun

PB - Springer-Verlag London Ltd.

CY - Germany

T2 - International Conference on Intelligent Data Engineering and Automated Learning 2004

Y2 - 1 January 2004

ER -

Fang VKF, Lee VCS. Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. In Yang ZR, Everson R, Yin H, editors, Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004). Vol. 3177. Germany: Springer-Verlag London Ltd. 2004. p. 780 - 787 https://doi.org/10.1007/b99975