Search Results

Showing results 1 to 10 of approximately 139.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Journal Article
Correlation products and risk management issues
Mahoney, James M. (1995-10)
Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of one type of correlation product, the differential swap, to show how nonseparable risk may escape traditional methods of assessing the risk of institutions' portfolios. The article considers the implications of correlation products for supervisory and institutional practices and concludes with a brief discussion of some ways nonseparable risk may be ...
Economic Policy Review , Volume 1 , Issue Oct , Pages 7-20

Working Paper
Banks and derivatives
Rosen, Richard J.; Gorton, Gary (1995)
Working Papers , Paper 95-12

Conference Paper
Derivatives and intermediation: a conference sponsored by the Federal Reserve Bank of Cleveland, November 1-3, 1995
Haubrich, Joseph G. (1996)
Proceedings

Journal Article
The role of currency derivatives in internationally diversified portfolios
Abken, Peter A.; Shrikhande, Milind M. (1997-07-03)
Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an additional risk-foreign exchange risk. ; The use of currency derivatives in internationally diversified portfolios can help mitigate foreign exchange risk. This article investigates the impact of currency hedging on these portfolios, in particular index portfolios of stocks and bonds from markets in seven ...
Economic Review , Volume 82 , Issue Q 3 , Pages 34-59

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

Working Paper
Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk
Gürkaynak, Refet S.; Wolfers, Justin (2005)
In September 2002, a new market in "Economic Derivatives" was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts, although the market-based measures somewhat more accurately predict financial market responses to surprises in data. These markets also provide implied probabilities of the full range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare ...
Working Paper Series , Paper 2005-26

Journal Article
U.S. Cross-Border Derivatives Data: A User's Guide
Curcuru, Stephanie E. (2007-05)
The global derivatives market has grown rapidly in the past decade. By one measure of market size--the notional value, which is used to determine the payments made on a derivatives contract--the derivatives market expanded from $87 trillion in June 1998 to $454 trillion in June 2006. Measured by the price at which a derivatives contract can be purchased in a current transaction, or the market value, the derivatives market grew from $3 trillion in June 1998 to $10 trillion as of June 2006.
Federal Reserve Bulletin , Volume 93 , Issue May , Pages pp. A1-A16

Working Paper
Pricing counterparty risk at the trade level and CVA allocations
Pykhtin, Michael; Rosen, Dan (2010)
We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty's default. We propose a methodology for calculating conditional EE contributions for both collateralized and non-collateralized counterparties. Calculation of EE contributions can be easily incorporated into exposure simulation processes that already exist in a financial institution. We ...
Finance and Economics Discussion Series , Paper 2010-10

Journal Article
Credit derivatives: new financial instruments for controlling credit risk
Neal, Robert (1996-04)
One of the risks of making a bank loan or investing in a debt security is credit risk, the risk of borrower default. In response to this risk, new financial instruments called credit derivatives have been developed in the past few years. Credit derivatives can help banks, financial companies, and investors manage the credit risk of their investments by insuring against adverse movements in the credit quality of the borrower. If a borrower defaults, the investor will suffer losses on the investment, but the losses can be offset by gains from the credit derivative. Thus, if used properly, ...
Economic Review , Volume 81 , Issue Q II , Pages 15-27

Speech
Some observations and lessons from the crisis
Potter, Simon M. (2010)
Remarks at the Third Annual Connecticut Bank and Trust Company Economic Outlook Breakfast, Hartford, Connecticut.
Speech

show more (2)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords