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How to value a cross-currency swap

Since the first transaction in 1981 between the World Bank and IBM, the market of cross-currency swaps has grown rapidly. It represents, according to the Bank of International Settlements, an outstanding notional amount of USD 16,347 billion as per June 2010. In this article we will discuss how cross-currency swaps work, and how to value them.

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Model validation: pain or gain?

These days you no longer have to explain to people that mathematical models are used in the financial world. They are more than often pointed to when people try to find what started the crisis! As an econometrist and consultant on risk management, I find it rather difficult to agree with that. But I cannot deny either that misuse of the models has played a role in the financial crisis.

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How do you value a credit default swap?

Warren Buffet once called these products 'weapons of mass destruction', how do credit default swaps work?

Multi-billionaire Warren Buffet once called these products 'weapons of mass destruction', because he thought they were partly responsible for causing the credit crunch. Despite this remark, there is still a buoyant trade in credit default swaps. Here we discuss how they work, and how they are valued.

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A structured approach to pricing

The importance of a structured and consistent approach towards setting interest rates for inter-company loans.

Multinational companies are increasingly faced with regulatory requirements from tax authorities worldwide regarding the pricing of inter-company loans. This article looks at the importance of a structured and consistent approach towards setting interest rates for inter-company loans – an area with which many companies struggle.

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A solution for the assessment of credit risks

EAGLE: European corporate rating model

In case companies receive large orders on a regular basis, it is important to know whether the other parties involved are capable of meeting their obligations.

However, determining the creditworthiness of companies requires considerable knowledge of risk models, the appropriate software and access to a substantial amount of specific data.

Since not every company has access to all of these relevant elements, in a close cooperation Zanders and Bureau van Dijk have developed an advanced solution that brings together models, software and data.

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