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Keywords:Swaps (Finance) 

Journal Article
Western banks and derivatives

FRBSF Economic Letter

Working Paper
What did the credit market expect of Argentina default? Evidence from default swap data

This article explores the expectations of the credit market by developing a parsimonious default swap model, which is versatile enough to disentangle default probability from the expected recovery rate, accommodate counterparty default risk, and allow flexible correlation between state variables. We implements the model to a unique sample of default swaps on Argentine sovereign debt, and found that the risk-neutral default probability was always higher than its physical counterpart, and the wedge between the two was affected by changes in the business cycle, the U.S. and Argentine credit ...
Finance and Economics Discussion Series , Paper 2003-25

Journal Article
Interest rate swaps: use, risk, and prices

New England Economic Review , Issue Nov , Pages 22-32

Conference Paper
Interest rate swaps and corporate financing choices

Proceedings , Issue Nov

Working Paper
Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

A structural model with stochastic volatility and jumps implies specific relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market. We use a novel approach to identify the realized jumps of individual equities from high frequency data. Our empirical results suggest that volatility risk alone predicts 50 percent of the variation in CDS spreads, while jump risk alone forecasts 19 percent. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 77 percent ...
Finance and Economics Discussion Series , Paper 2005-63

Working Paper
Counterparty credit risk in interest rate swaps during times of market stress

This paper examines whether empirical and theoretical results suggesting a relatively small role for counterparty credit risk in the determination of interest rate swap rates hold during periods of stress in the financial markets, such as the chain of events that followed the Russian default crisis of 1998. The analysis sheds light on the robustness of netting and credit enhancement mechanisms, which are common in interest rate swaps, to widespread turmoil in the financial markets.
Finance and Economics Discussion Series , Paper 2003-09

A strategy for the 2011 economic recovery

Remarks at Dominican College, Orangeburg, New York.
Speech , Paper 41

Journal Article
Interest rate swaps: a new tool for managing risk

Business Review , Issue May/Jun , Pages 17-25

Journal Article
Swaps growing in importance as financial risk management tools

Financial Update , Issue Spr , Pages 4-5, 11

Working Paper
A proposal for efficiently resolving out-of-the-money swap positions at large insolvent banks

Recent evidence suggests that bank regulators appear to be able to resolve insolvent large banks efficiently without either protecting uninsured deposits through invoking "too-big-to-fail" or causing serious harm to other banks or financial markets. But resolving swap positions at insolvent banks, particularly a bank's out-of-the-money positions, has received less attention. The FDIC can now either repudiate these contracts and treat the in-the-money counterparties as at-risk general creditors or transfer the contracts to a solvent bank. Both options have major drawbacks. Terminating ...
Working Paper Series , Paper WP-03-01


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anonymous 6 items

Sarkar, Asani 5 items

Fleming, Michael J. 4 items

Zhou, Hao 3 items

Abken, Peter A. 2 items

Arak, Marcelle V. 2 items

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Swaps (Finance) 78 items

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