Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps

43 Pages Posted: 11 Nov 2008

See all articles by Marti G. Subrahmanyam

Marti G. Subrahmanyam

New York University (NYU) - Department of Finance

Young Ho Eom

Yonsei University

Jun Uno

Waseda University

Date Written: March 2000

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.

Keywords: Credit Risk, Japanese Government Bonds Market, Swap Pricing

Suggested Citation

Subrahmanyam, Marti G. and 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: https://ssrn.com/abstract=1298268

Marti G. Subrahmanyam (Contact Author)

New York University (NYU) - Department of Finance ( 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 )

1-6-1 Nishi-Waseda
Shinjuku-ku
Tokyo, 1698050
Japan

Register to save articles to
your library

Register

Paper statistics

Downloads
43
Abstract Views
494
PlumX Metrics