Abstract

http://ssrn.com/abstract=1520619
 
 

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A Survey on Modeling and Analysis of Basis Spreads


Masaaki Fujii


University of Tokyo - Faculty of Economics

Yasufumi Shimada


Shinsei Bank, Ltd

Akihiko Takahashi


University of Tokyo - Graduate School of Economics

November 12, 2009


Abstract:     
The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap Curves with and without Collateral" has developed an arbitrage-free curve construction method with all the relevant spreads taken into account. This short note carries out a brief survey on the existing analysis of spreads' dynamics and pricing models as a preparation for the development of a model that enables us to price and hedge generic financial derivatives under the new market condition.

Number of Pages in PDF File: 10

Keywords: Libor, swap, tenor, swap spread, curve, overnight index swap, cross currency, basis spread

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Date posted: December 8, 2009  

Suggested Citation

Fujii, Masaaki and Shimada, Yasufumi and Takahashi, Akihiko, A Survey on Modeling and Analysis of Basis Spreads (November 12, 2009). Available at SSRN: http://ssrn.com/abstract=1520619 or http://dx.doi.org/10.2139/ssrn.1520619

Contact Information

Masaaki Fujii
University of Tokyo - Faculty of Economics ( email )
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
Japan
Yasufumi Shimada
Shinsei Bank, Ltd ( email )
Chiyoda, Tokyo
Japan
Akihiko Takahashi (Contact Author)
University of Tokyo - Graduate School of Economics ( email )
Tokyo
Japan
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