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Journal Article
Did you know? A primer on credit default swaps
anonymous (2008)
A credit default swap, an over-the-counter financial contract that allows for the transfer of credit risk from one party to another, is one way financial institutions mitigate and diversify credit risk.
Financial Update , Volume 21 , Issue 2

Journal Article
Swaps growing in importance as financial risk management tools
anonymous (1991-04)
Financial Update , Issue Spr , Pages 4-5, 11

Journal Article
Interest rate swaps: risk and regulation
Whittaker, J. Gregg (1987-03)
Economic Review , Volume 72 , Issue Mar , Pages 3-13

Report
When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads
Bai, Jennie; Wei, Shang-Jin (2012)
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and increasing their risk of default may be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default swaps (CDS) data set covering government and corporate entities across thirty countries, we study both the average strength of the transfer risks and the role of ...
Staff Reports , Paper 579

Discussion Paper
Credit risk in interest rate swaps
Belton, Terrence M. (1987)
Research Papers in Banking and Financial Economics , Paper 101

Working Paper
Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data
Han, Song; Zhou, Hao (2008)
We estimate the nondefault component of corporate bond yield spreads and examine its relationship with bond liquidity. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of credit default swaps spreads. With swap rate as the risk free rate, the estimated nondefault component is generally moderate but statistically significant for AA-, A-, and BBB-rated bonds and increasing in this order. With Treasury rate as the risk free rate, the estimated nondefault component is the largest in basis points for BBB-rated bonds but, as a ...
Finance and Economics Discussion Series , Paper 2008-40

Journal Article
The global financial crisis and offshore dollar markets
Sarkar, Asani; Coffey, Niall; Hrung, Warren B.; Nguyen, Hoai-Luu (2009-10)
Facing a shortage of U.S. dollars and a growing need to support their dollar-denominated assets during the financial crisis, international firms increasingly turned to the foreign exchange swap market and other secured funding sources. An analysis of the ensuing strains in the swap market shows that the dollar "basis"--the premium international institutions pay for dollar funding--became persistently large and positive, chiefly as a result of the higher funding costs paid by smaller firms and non-U.S. banks. The widening of the basis underscores the severity and breadth of the crisis as ...
Current Issues in Economics and Finance , Volume 15 , Issue Oct

Speech
Factors affecting efforts to limit payments to AIG counterparties
Baxter, Thomas C. (2010)
Testimony before the Committee on Government Oversight and Reform, U.S. House of Representatives.
Speech , Paper 13

Journal Article
Central bank dollar swap lines and overseas dollar funding costs
Miu, Jason; Kennedy, Craig; Goldberg, Linda S. (2011-05)
In the decade prior to the financial crisis, foreign banks? exposure to U.S.-dollar-denominated assets rose dramatically. When the crisis hit in 2007, the banks? access to dollar funding came under severe duress, with potentially dire consequences for global financial markets that could also spread to U.S. markets. The Federal Reserve responded in December 2007 by establishing temporary reciprocal currency swap lines, or facilities, with foreign central banks designed to ameliorate dollar funding stresses overseas. Drawing on rigorous analysis of the swaps, as well as insights of other ...
Economic Policy Review , Volume 17 , Issue May , Pages 3-20

Journal Article
The Federal Reserve's foreign exchange swap lines
Klagge, Nicholas; Fleming, Michael J. (2010-04)
The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or "swap lines," with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions.
Current Issues in Economics and Finance , Volume 16 , Issue Apr

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