{"created":"2021-03-01T07:02:48.369379+00:00","id":42861,"links":{},"metadata":{"_buckets":{"deposit":"5f6d3f31-9642-4654-8b6a-e1828a583021"},"_deposit":{"id":"42861","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42861"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042861","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-743","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":"In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the ”choice” of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded ”cheapest-to-deliver” option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Subsequenlty published in Risk Magazine, January 2011, 120-125.","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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98538","nameIdentifierScheme":"WEKO"}],"names":[{"name":"高橋, 明彦"}]}]},"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/2010/2010cf743ab.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, University of Tokyo"},{"subitem_text_value":"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":"98535","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Shimada, Yasufumi"}],"nameIdentifiers":[{"nameIdentifier":"98536","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98537","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"swap","subitem_subject_scheme":"Other"},{"subitem_subject":"collateral","subitem_subject_scheme":"Other"},{"subitem_subject":"derivatives","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor","subitem_subject_scheme":"Other"},{"subitem_subject":"currency","subitem_subject_scheme":"Other"},{"subitem_subject":"OIS","subitem_subject_scheme":"Other"},{"subitem_subject":"EONIA","subitem_subject_scheme":"Other"},{"subitem_subject":"Fed-Fund","subitem_subject_scheme":"Other"},{"subitem_subject":"CCS","subitem_subject_scheme":"Other"},{"subitem_subject":"basis","subitem_subject_scheme":"Other"},{"subitem_subject":"risk management","subitem_subject_scheme":"Other"},{"subitem_subject":"HJM","subitem_subject_scheme":"Other"},{"subitem_subject":"FX option","subitem_subject_scheme":"Other"},{"subitem_subject":"CSA","subitem_subject_scheme":"Other"},{"subitem_subject":"CVA","subitem_subject_scheme":"Other"},{"subitem_subject":"term structure","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":"Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management"}]},"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":"42861","relation_version_is_last":true,"title":["Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.167511+00:00"}