Working Paper
A survey and analysis of index-linked certificates of deposit
Abken, Peter A. (1989)
FRB Atlanta Working Paper , Paper 89-1

Journal Article
Corporate pensions and government insurance: deja vu all over again?
Abken, Peter A. (1992-03)
Economic Review , Issue Mar , Pages 1-16

Working Paper
Generalized method of moments tests of forward rate processes
Abken, Peter A. (1993)
FRB Atlanta Working Paper , Paper 93-7

Working Paper
Valuation of default-risky interest-rate swaps
Abken, Peter A. (1991)
FRB Atlanta Working Paper , Paper 91-4

Journal Article
Beyond plain vanilla: a taxonomy of swaps
Abken, Peter A. (1991-03)
Economic Review , Issue Mar , Pages 12-29

Journal Article
Covered call options: a proposal to ease LDC debt
Feinstein, Steven P.; Abken, Peter A. (1990-03)
Economic Review , Issue Mar , Pages 2-13

Journal Article
Innovations in modeling the term structure of interest rates
Abken, Peter A. (1990-07)
Economic Review , Issue Jul , Pages 2-27

Journal Article
Inflation and the yield curve
Abken, Peter A. (1993-05)
Economic Review , Issue May , Pages 13-31

Journal Article
An introduction to portfolio insurance
Abken, Peter A. (1987-11)
Economic Review , Issue Nov , Pages 2-25

Working Paper
The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods
Abken, Peter A.; Wall, Larry D.; Tallman, Ellis W. (1996)
This paper develops a model in which information losses may be an important part of the cost of an OTC derivatives dealer's failure. A dealer failure forces solvent counterparties of a failed dealer to seek replacement hedges with other dealers. However, by forcing good firms into the derivatives market, the failure provides camouflage for insolvent firms seeking to speculate with a dealer that does not know their credit status. The paper models this information loss and uses the model to quantitatively evaluate a range of scenarios. The results suggest that a market breakdown is unlikely but ...
FRB Atlanta Working Paper , Paper 96-6