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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 Currency Swaption HJM

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 HJM CSA CVA

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
  • Subject HeadingLibor swap tenor swap spread curve overnight index swap cross currency basis spread

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
  • Subject HeadingLibor swap tenor yield curve collateral overnight index swap cross currency basis spread

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
  • Subject Heading...swap curve OIS cross currency basis spread interest rate mo...

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