{"created":"2021-03-01T07:02:51.558442+00:00","id":42908,"links":{},"metadata":{"_buckets":{"deposit":"78fd0b67-f348-4059-b0c9-631d8c0f5dae"},"_deposit":{"id":"42908","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42908"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042908","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-12","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-829","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 the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to achieve the same economic effects. In this paper, we have presented a simple generic valuation framework for the clean price under the USD silo with the the detailed procedures for the initial term structure construction. We have also shown that Cross Currency Swap (CCS) basis spread can be expressed as a difference between two swap rates.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Forthcoming in a chapter of Risk Book \"Interest Rate Modelling After The Financial Crisis\".","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/2011/2011cf829ab.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"}]},"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":"98668","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98669","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"CSA","subitem_subject_scheme":"Other"},{"subitem_subject":"SCSA","subitem_subject_scheme":"Other"},{"subitem_subject":"OIS","subitem_subject_scheme":"Other"},{"subitem_subject":"Swap","subitem_subject_scheme":"Other"},{"subitem_subject":"Collateralization","subitem_subject_scheme":"Other"},{"subitem_subject":"basis spreads","subitem_subject_scheme":"Other"},{"subitem_subject":"Cross Currency Basis","subitem_subject_scheme":"Other"},{"subitem_subject":"Cross Currency Swaption","subitem_subject_scheme":"Other"},{"subitem_subject":"HJM","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":"Clean Valuation Framework for the USD Silo : An implication for the forthcoming Standard Credit Support Annex (SCSA)","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Clean Valuation Framework for the USD Silo : An implication for the forthcoming Standard Credit Support Annex (SCSA)"}]},"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":"42908","relation_version_is_last":true,"title":["Clean Valuation Framework for the USD Silo : An implication for the forthcoming Standard Credit Support Annex (SCSA)"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.355576+00:00"}