|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27061
|
| Title: | Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps |
| Authors: | Subrahmanyam, Marti G.
Eom, Young Ho
Uno, Jun |
| Keywords: | Credit Risk
Japanese Government Bonds Market
Swap Pricing |
| Issue Date: | Mar-2000 |
| Series/Report no.: | FIN-98-069 |
| Abstract: | 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. |
| URI: | http://hdl.handle.net/2451/27061 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
