Faculty Digital Archive

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

Files in This Item:

File Description SizeFormat
wpa98069.pdf478.24 kBAdobe PDFView/Open

Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.


The contents of the FDA may be subject to copyright, be offered under a Creative Commons license, or be in the public domain.
Please check items for rights statements. For information about NYU’s copyright policy, see http://www.nyu.edu/footer/copyright-and-fair-use.html 
Valid XHTML 1.0 | CSS