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Modeling of Interest Rate Term Structures under Collateralization and its Implications
http://hdl.handle.net/2261/38088
http://hdl.handle.net/2261/38088da551d79-6665-4de0-89a7-d2c76720e8e9
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Modeling of Interest Rate Term Structures under Collateralization and its Implications | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | swap | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | collateral | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Libor | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | OIS | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | EONIA | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Fed-Fund | |||||
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 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | HJM | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | CSA | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | CVA | |||||
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× Takahashi, Akihiko |
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著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 98637 | |||||
姓名 | 高橋, 明彦 | |||||
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 | In recent years, we have observed dramatic increase of collateralization as an important credit risk mitigation tool in over the counter (OTC) market [6]. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance of difference between the funding cost of contracts and Libors of the relevant currencies. In this article, we integrate the series of our recent works [1, 2, 4] and explain the consistent construction of term structures of interest rates in the presence of collateralization and all the relevant basis spreads, their no-arbitrage dynamics as well as their implications for derivative pricing and risk management. Particularly, we have shown the importance of the choice of collateral currency and embedded "cheapestto- deliver" (CTD) option in a collateral agreement. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | First version: 22 September 2010; Current version: 24 September 2010 / Forthcoming in Proceedings of KIER-TMU International Workshop on Financial Engineering, 2010 and Recent Advances in Financial Engineering, 2010. World Scientific, June, 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-762, 発行日 2010-09 |
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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/2010/2010cf762ab.html |