Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management

Notes on use

Note (General)：: application/pdfSubsequenlty published in Risk Magazine, January 2011, 120-125.本文フィルはリンク先を参照のこと

Search by Bookstore

This page shows libraries in Japan other than the National Diet Library that hold the material.

Please contact your local library for information on how to use materials or whether it is possible to request materials from the holding libraries.

other

Utokyo Repository
Paper
You can check the holdings of institutions and databases with which Institutional Repositories DataBase(IRDB)(Institutional Repository) is linked at the site of Institutional Repositories DataBase(IRDB)(Institutional Repository).
Utokyo Repository

You can check the details of this material, its authority (keywords that refer to materials on the same subject, author's name, etc.), etc.

Material Type: 文書・図像類
Title: Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
Author/Editor: Fujii, Masaaki
Shimada, Yasufumi
Takahashi, Akihiko
Author Heading: Fujii, Masaaki
Shimada, Yasufumi
Takahashi, Akihiko
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2010-05
Publication Date (W3CDTF): 2010-05
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-743
Volume: CIRJE-F-743
Text Language Code: eng
Subject Heading: swap
collateral
derivatives
Libor
currency
OIS
EONIA
Fed-Fund
CCS
basis
risk management
HJM
FX option
CSA
CVA
term structure
NDC: 335
Target Audience: 一般
Note (General): application/pdf
Subsequenlty published in Risk Magazine, January 2011, 120-125.
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf743ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ