Question
Suppose the yield curve is positively sloped and Im the fixed payer (and floating receiver) in a 5-year interest-rate swap. Suppose my risk of default
Suppose the yield curve is positively sloped and Im the fixed payer (and floating receiver) in a 5-year interest-rate swap. Suppose my risk of default is the same as that of my counterparty. Whats greater the credit-risk exposure I have to the counterparty or the credit-risk exposure that he/she has to me?
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Authors: Rebecca W. Anderson
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