{"created":"2021-03-01T07:02:50.814257+00:00","id":42897,"links":{},"metadata":{"_buckets":{"deposit":"4c467ca4-dece-4eef-b7f3-d056ad159cac"},"_deposit":{"id":"42897","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42897"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042897","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-778","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":"Collateral has been used for a long time in the cash market and we have also experienced significant increase of its use as an important credit risk mitigation tool in the derivatives market for this decade. Despite its long history in the financial market, its importance for funding has been recognized relatively recently following the explosion of basis spreads in the crisis. This paper has demonstrated the impact of collateralization on derivatives pricing through its funding effects based on the actual data of swap markets. It has also shown the importance of the ”choice” of collateral currency. In particular, when a contract allows multiple currencies as eligible collateral as well as its free replacement, the paper has found that the embedded ”cheapest-todeliver” option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for 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":"Forthcoming in Risk Magazine 120-125, January 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/2010/2010cf778ab.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"}]},"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":"98647","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98648","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":"Choice of Collateral Currency","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Choice of Collateral Currency"}]},"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":"42897","relation_version_is_last":true,"title":["Choice of Collateral Currency"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.714042+00:00"}