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Clean Valuation Framework for the USD Silo : An implication for the forthcoming Standard Credit Support Annex (SCSA)

Clean Valuation Framework for the USD Silo : An implication for the forthcoming Standard Credit Support Annex (SCSA)
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2011-12Discussion paper series. CIRJE-FCIRJE-F-829
Other Libraries in Japan
  • Subject HeadingCSA SCSA OIS Swap Collateralization basis spreads Cross Currency Basis Cross Cu...

A Survey on Modeling and Analysis of Basis Spreads

A Survey on Modeling and Analysis of Basis Spreads
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Akihiko, Takahashi日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-697
Other Libraries in Japan

A Note on Construction of Multiple Swap Curves with and without Collateral

A Note on Construction of Multiple Swap Curves with and without Collateral
Paper文書・図像類
Fujii, Masaaki, Yasufumi, Shimada, Akihiko, Takahashi日本経済国際共同センター2009-07Discussion paper series. CIRJE-FCIRJE-F-630
Other Libraries in Japan

A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Akihiko, Takahashi日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-698
Other Libraries in Japan

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