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Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps


Marti G. Subrahmanyam


New York University - Stern School of Business

Young Ho Eom


Yonsei University

Jun Uno


Waseda University
March 2000

NYU Working Paper No. FIN-98-069

Abstract:     
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 Pricing

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Date posted: November 11, 2008  

Suggested Citation

Subrahmanyam, Marti G., Eom, Young Ho and Uno, Jun, Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps (March 2000). NYU Working Paper No. FIN-98-069. Available at SSRN: http://ssrn.com/abstract=1298268

Contact Information

Marti G. Subrahmanyam (Contact Author)
New York University - Stern School of Business ( email )
Stern School of Business,
44 West 4th Street, Suite 9-68
New York, NY 10012-1126
United States
212-998-0348 (Phone)
212-995-4233 (Fax)
Young Ho Eom
Yonsei University ( email )
College of Business and Economics
Seoul 120-749
South Korea
+82 2 361 4193 (Phone)
+82 2 392 0504 (Fax)
Jun Uno
Waseda University ( email )
1-4-1 Nihombashi
Chuo-ku
Tokyo, 103-0027
Japan
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