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  5. Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps
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dc.contributor.authorSubrahmanyam, Marti G.-
dc.contributor.authorEom, Young Ho-
dc.contributor.authorUno, Jun-
dc.date.accessioned2008-05-29T18:04:15Z-
dc.date.available2008-05-29T18:04:15Z-
dc.date.issued2000-03-
dc.identifier.urihttp://hdl.handle.net/2451/27061-
dc.description.abstractIn 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.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-98-069en
dc.subjectCredit Risken
dc.subjectJapanese Government Bonds Marketen
dc.subjectSwap Pricingen
dc.titleCredit Risk and the Pricing of Japanese Yen Interest Rate Swapsen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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