Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA

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Note (General)：: application/pdfFirst version: November 30, 2010 / Revised in April and December 2011.本文フィルはリンク先を参照のこと

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Material Type: 文書・図像類
Title: Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
Author/Editor: Fujii, Masaaki
Takahashi, Akihiko
Author Heading: Fujii, Masaaki
Takahashi, Akihiko
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2010-12
Publication Date (W3CDTF): 2010-12
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-781
Volume: CIRJE-F-781
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
First version: November 30, 2010 / Revised in April and December 2011.
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/2010/2010cf781ab.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