Covrig, Vicentiu; Low, Buen Sin; Melvin, Michael - In: Journal of Financial and Quantitative Analysis 39 (2004) 01, pp. 193-208
Pricing in the euroyen market is based on LIBOR, the London Interbank Offered Rate, set at 11:00AM London time or TIBOR, the Tokyo Interbank Offered Rate, set at 11:00AM Tokyo time. The changing TIBOR-LIBOR spread reflects the credit risk associated with Japanese banks or the “Japan...