JayaPrakash Selvaraj

Shinsei Bank, Limited

SCHOLARLY PAPERS

2

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CITATIONS
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Top 27,021

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9

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
ESSEC Business School, Shinsei Bank, Limited and affiliation not provided to SSRN
Downloads 3,326 (1,977)
Citation 9

Abstract:

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
ESSEC Business School, Shinsei Bank, Ltd and Shinsei Bank, Limited
Downloads 279 (77,140)

Abstract:

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