JayaPrakash Selvaraj

Shinsei Bank, Limited

SCHOLARLY PAPERS

2

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CITATIONS
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Top 35,487

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10

Scholarly Papers (2)

1.

Building Curves on a Good Basis

Number of pages: 21 Posted: 25 Apr 2009 Last Revised: 11 Jun 2012
Messaoud Chibane, JayaPrakash Selvaraj and Guy Sheldon
NEOMA BUSINESS SCHOOL, Shinsei Bank, Limited and affiliation not provided to SSRN
Downloads 3,627 (2,572)
Citation 11

Abstract:

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discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps

2.

Discounting Consistently with Collateral Posting

Number of pages: 28 Posted: 15 Jun 2012 Last Revised: 21 Jun 2012
Messaoud Chibane, Yi-Chen Huang and JayaPrakash Selvaraj
NEOMA BUSINESS SCHOOL, Shinsei Bank, Ltd and Shinsei Bank, Limited
Downloads 337 (87,538)

Abstract:

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CSA, OIS discounting, Bootstrapping, Cheyette model, Foreign collateralisation