Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Subrahmanyam, Marti G. | - |
dc.contributor.author | Eom, Young Ho | - |
dc.contributor.author | Uno, Jun | - |
dc.date.accessioned | 2008-05-29T18:04:15Z | - |
dc.date.available | 2008-05-29T18:04:15Z | - |
dc.date.issued | 2000-03 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27061 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-98-069 | en |
dc.subject | Credit Risk | en |
dc.subject | Japanese Government Bonds Market | en |
dc.subject | Swap Pricing | en |
dc.title | Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa98069.pdf | 478.24 kB | Adobe PDF | View/Open |
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