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A Survey on Modeling and Analysis of Basis Spreads
http://hdl.handle.net/2261/32437
http://hdl.handle.net/2261/32437565fef0f-5bdb-4fe9-bdb0-7cd027081721
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | A Survey on Modeling and Analysis of Basis Spreads | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Libor | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | swap | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | tenor | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | swap spread | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | curve | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | overnight index swap | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | cross currency | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | basis spread | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fujii, Masaaki
× Fujii, Masaaki× Shimada, Yasufumi× Akihiko, Takahashi |
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| 著者所属 | ||||||
| 値 | Graduate School of Economics, The University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Capital Markets Division, Shinsei Bank, Limited | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap Curves with and without Collateral" has developed an arbitrage-free curve construction method with all the relevant spreads taken into account. This short note carries out a brief survey on the existing analysis of spreads'dynamics and pricing models as a preparation for the development of a model that enables us to price and hedge generic financial derivatives under the new market condition. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised in February 2012; forthcoming in Recent Advances in Financial Engineering 2011. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-697, 発行日 2009-12 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf697ab.html | |||||
