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Collateralized CDS and Default Dependence : Implications for the Central Clearing

Collateralized CDS and Default Dependence : Implications for the Central Clearing
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2011-04Discussion paper series. CIRJE-FCIRJE-F-799
Other Libraries in Japan
  • Subject HeadingCVA CSA CCP swap collateral derivatives OIS EONIA Fed-Fund basis risk managemen...

Modeling of Interest Rate Term Structures under Collateralization and its Implications

Modeling of Interest Rate Term Structures under Collateralization and its Implications
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Takahashi, Akihiko日本経済国際共同センター2010-09Discussion paper series. CIRJE-FCIRJE-F-762
Other Libraries in Japan
  • Subject Headingswap collateral Libor OIS EONIA Fed-Fund cross currency basis...

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-781
Other Libraries in Japan
  • Subject Heading...r currency OIS EONIA Fed-Fund CCS basis risk manag...

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

Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Takahashi, Akihiko日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-743
Other Libraries in Japan
  • Subject Heading...r currency OIS EONIA Fed-Fund CCS basis risk manag...

Choice of Collateral Currency

Choice of Collateral Currency
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-778
Other Libraries in Japan
  • Subject Heading...r currency OIS EONIA Fed-Fund CCS basis risk manag...

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