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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

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