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Journal Article
Measuring credit risk in interest rate swaps
Simons, Katerina (1989-11)
New England Economic Review , Issue Nov , Pages 29-38

Journal Article
Correlation products and risk management issues
Mahoney, James M. (1995)
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

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

Working Paper
Credit default swap spreads and variance risk premia
Wang, Hao; Zhou, Hao; Zhou, Yi (2011)
We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a predictability complements that of the leading state variable--leverage ratio--and strengthens significantly with lower firm credit rating, longer credit contract maturity, and model-free implied variance. We provide further evidence that: (1) variance risk premium has a cleaner systematic component and ...
Finance and Economics Discussion Series , Paper 2011-02

Journal Article
Interest rate swaps: a review of the issues
Wall, Larry D.; Pringle, John J. (1988-11)
Economic Review , Issue Nov , Pages 22-40

Journal Article
Increase in the reciprocal currency arrangement with the Bank of Mexico, announced February 1, 1995
anonymous (1995-03)
Federal Reserve Bulletin , Issue Mar , Pages 265

Speech
A strategy for the 2011 economic recovery
Tracy, Joseph (2011)
Remarks at Dominican College, Orangeburg, New York.
Speech , Paper 41

Working Paper
Counterparty credit risk in interest rate swaps during times of market stress
Bomfim, Antulio N. (2003)
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

Journal Article
The global financial crisis and offshore dollar markets
Sarkar, Asani; Nguyen, Hoai-Luu; Hrung, Warren B.; Coffey, Niall (2009)
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
Reflections on the TALF and the Federal Reserve's role as liquidity provider
Sack, Brian P. (2010)
Remarks at the New York Association for Business Economics, New York City.
Speech , Paper 26

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