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検索結果 4 件

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)
紙文書・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
全国の図書館
  • 件名CSA SCSA OIS Swap Collateralization basis spreads Cross Currency Basis Cross C...

A Survey on Modeling and Analysis of Basis Spreads

A Survey on Modeling and Analysis of Basis Spreads
紙文書・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
全国の図書館
  • 件名Libor 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
紙文書・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
全国の図書館
  • 件名Libor 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
紙文書・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
全国の図書館
  • 件名...cross currency basis spread interest rate model derivativ...

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