{"created":"2021-03-01T07:02:47.690622+00:00","id":42851,"links":{},"metadata":{"_buckets":{"deposit":"331738a2-5396-4f64-8377-274eae37dfbe"},"_deposit":{"id":"42851","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42851"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042851","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-697","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in February 2012; forthcoming in Recent Advances in Financial Engineering 2011.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf697ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, The University of Tokyo"},{"subitem_text_value":"Capital Markets Division, Shinsei Bank, Limited"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"98511","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Shimada, Yasufumi"}],"nameIdentifiers":[{"nameIdentifier":"98512","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Akihiko, Takahashi"}],"nameIdentifiers":[{"nameIdentifier":"98513","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Libor","subitem_subject_scheme":"Other"},{"subitem_subject":"swap","subitem_subject_scheme":"Other"},{"subitem_subject":"tenor","subitem_subject_scheme":"Other"},{"subitem_subject":"swap spread","subitem_subject_scheme":"Other"},{"subitem_subject":"curve","subitem_subject_scheme":"Other"},{"subitem_subject":"overnight index swap","subitem_subject_scheme":"Other"},{"subitem_subject":"cross currency","subitem_subject_scheme":"Other"},{"subitem_subject":"basis spread","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"A Survey on Modeling and Analysis of Basis Spreads","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Survey on Modeling and Analysis of Basis Spreads"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42851","relation_version_is_last":true,"title":["A Survey on Modeling and Analysis of Basis Spreads"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:49.236616+00:00"}