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Yuji Sakurai

Yuji Sakurai is a financial economist within the Supervision, Regulation and Credit. Yuji’s research focuses on derivatives pricing, international finance, and macro-based asset pricing. Prior to joining the Richmond Fed, he worked at JPMorgan Securities Japan Co., Ltd., Mizuho-DL Financial Technology, and the Institute for Monetary and Economic Studies at the Bank of Japan.

Yuji received his bachelor’s and master’s degrees from the University of Tokyo. He earned his doctoral degree from UCLA Anderson School of Management.

  • Publications

    “Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit Risk,” with Yoshihiko Uchida, 2014, Journal of Banking and Finance (refereed).

    “When and how US dollar shortages evolved into a full crisis: Evidence from the cross-currency swap market,” with Naohiko Baba, 2011, Journal of Banking and Finance (refereed).

    “Predicting regime switches in the VIX index with macroeconomic variables,” with Naohiko Baba, 2011, Applied Economics Letters (refereed but no requirement for revision).

  • Working Papers

    “How does the bond market perceive macroeconomic risks under zero lower bound?,” 2016, Job market paper.

    “A welfare analysis of cross-border OTC swap market fragmentation and introducing a central limit order book,” 2015, Working paper.

    “Customer suitability risk in structured products: A text-based analysis of Japanese ADR cases of FX derivatives,” 2015, Working paper.

    “A simulation analysis of systemic counterparty risk: Implications of CVA for financial stability” with Tetsuo Kurosaki, 2015, Working paper.

    “The use of the Black model of interest rates as options for monitoring the JGB market expectations,” with Youichi Ueno and Naohiko Baba, 2006, Bank of Japan Working paper

phone Contact Us

Yuji Sakurai (704) 358-2382