Sorensen, Eric H. and Thierry F. Bollier, "Pricing Swap Default Risk", Financial Analysts Journal, Vol. 50, No. 3, (May/June 1994), pp. 23-33.
Abstract: With the growth in the market for interest rate swaps has come a growing need to understand the potential default risks of these instruments. In general, swap participants can deal with default risk by seeking to mitigate it (by dealing only with AAA-rated counterparties for example). Alternatively, potential counterparties can attempt to come to some agreement about the degree of default risk and use that knowledge to "price" their positions.