Yuji Sakurai

Federal Reserve Banks - Federal Reserve Bank of Richmond

Financial Economist

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

2

DOWNLOADS

438

CITATIONS

2

Scholarly Papers (2)

1.

Rehypothecation Dilemma: Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk

25th Australasian Finance and Banking Conference 2012
Number of pages: 33 Posted: 28 Aug 2012 Last Revised: 29 Oct 2013
Yuji Sakurai and Yoshihiko Uchida
Federal Reserve Banks - Federal Reserve Bank of Richmond and Bank of Japan - Institute for Monetary and Economic Studies
Downloads 292 (103,215)

Abstract:

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shadow banking, collateral segregation, credit rating migration, margin call

2.

When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 27 Aug 2009 Last Revised: 07 Dec 2009
Naohiko Baba and Yuji Sakurai
affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 146 (198,755)

Abstract:

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Global financial crisis, US dollar shortage, Currency swap, Dynamic global factor model, Regime switching