| 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 | Size | Format | |
|---|---|---|---|---|
| wpa98069.pdf | 478.24 kB | Adobe PDF | View/Open |
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