Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps
Marti G. Subrahmanyam
New York University - Stern School of Business
Young Ho Eom
NYU Working Paper No. FIN-98-069
In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit risk variables.
Number of Pages in PDF File: 43
Keywords: Credit Risk, Japanese Government Bonds Market, Swap Pricingworking papers series
Date posted: November 11, 2008
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