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Conference Paper
Comments on systemic risk
Basing, Malcolm P. (1993)
Proceedings , Paper 397

Conference Paper
Banking evolution
Greenspan, Alan (2000)
Proceedings , Paper 662

Journal Article
Trading activity and price transparency in the inflation swap market
Sporn, John; Fleming, Michael J. (2013-05)
The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets operate. This article broadens that understanding by using a novel transaction data set to examine trading activity and price transparency in the quickly growing U.S. inflation swap market. The authors find that the market appears reasonably liquid and transparent, despite its over-the-counter nature and ...
Economic Policy Review , Volume 19 , Issue May , Pages 45-57

Conference Paper
On the credit risk of OTC derivative users
Bhasin, Vijay (1997)
Proceedings , Paper 554

Conference 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. (1997)
Proceedings , Paper 555

Working Paper
Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities
Ronn, Ehud I.; Bliss, Robert R. (1997)
Previous studies on interest rate derivatives have been limited by the relatively short history of most traded derivative securities. The prices for callable U.S. Treasury securities, available for the period 1926?95, provide the sole source of evidence concerning the implied volatility of interest rates over this extended period. Using the prices of callable, as well as non-callable, Treasury instruments, this paper estimates implied interest rate volatilities for the past seventy years. Our technique for estimating implied volatilities enables us to address two important issues concerning ...
FRB Atlanta Working Paper , Paper 97-1

Working Paper
Extracting market expectations from option prices: case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori (1999)
This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the whole probability distribution of the future values of underlying assets. Such information enables us to examine the development of market expectations. The paper estimates a time series of implied probability distributions from daily option prices on stock prices and long term government bond futures. The estimation is done for a sample of daily ...
Working Paper Series , Paper WP-99-1

Journal Article
Derivatives disclosures by major U.S. banks, 1995
Eller, Gregory E.; Edwards, Gerald A. (1996-09)
This review of the 1995 annual reports of ten major U.S. commercial banks shows that public disclosure about derivatives activities continues to improve. Compared with reports for earlier years, banks are providing more types of information in greater depth and in ways that make the information more easily understood by readers of public financial statements. These large banks, in response to standards and recommendations promulgated by various groups as well as by shareholder concerns, have made significant strides in increasing the transparency of their derivatives activities.
Federal Reserve Bulletin , Volume 82 , Issue Sep , Pages 791-801

Journal Article
Stocks, bonds, options, futures, and portfolio insurance: a rose by any other name
Fortune, Peter (1995-07)
Trading volume and open interest in options and futures contracts on stock indices, equities, and interest rate instruments traded on world exchanges have experienced remarkable growth. However, this growth has been accompanied by controversy about the proper role of financial derivatives and the potential for abuse. Prominent attention has been given to losses by major corporations, broker-related short-term mutual funds, and municipal agencies.> The public debate about "derivatives" has promoted the impression that the heart of the problem has been a proliferation of brand new ways of ...
New England Economic Review , Issue Jul , Pages 25-46

Conference Paper
Derivative products in exchange rate crises
Lall, Subir; Garber, Peter M. (1996)
Proceedings

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