Credit risk and the yen interest rate swap market

In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit risk variables.(...)

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Year of publication:	2000-07-01
Authors:	Eom, Young Ho ; Subrahmanyam, Marti G. ; Uno, Jun
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Swap \| Kreditrisiko \| Termingeschäft \| Schuldverschreibung \| defaulted bonds \| Japan / Regierung \| Japanese Government

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Extent:	565248 bytes 43 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Publications Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program ; 2001,08
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; Financial theory ; Individual Working Papers, Preprints ; Japan
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846834