Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps
43 Pages Posted: 11 Nov 2008
Date Written: March 2000
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
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