Narrow search
Showing 1 - 10 of 85
Cover Image
LIBOR: origins, economics, crisis, scandal, and reform
Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010757406
Cover Image
Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …
Persistent link: https://www.econbiz.de/10001936329
Cover Image
Simple and reliable way to compute option-based risk-neutral distributions
Malz, Allan M. - Federal Reserve Bank of New York - 2014
This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile …
Persistent link: https://www.econbiz.de/10010823096
Cover Image
Securities lending
Lipson, Paul C.; Sabel, Bradley K.; Keane, Frank - 1989
Persistent link: https://www.econbiz.de/10000860759
Cover Image
CDS and equity market reactions to stock issuances in the U.S. financial industry: evidence from the 2002-13 period
Mehran, Hamid; Wei, Chenyang; Cornette, Marcia Millon; … - Federal Reserve Bank of New York - 2014
. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using …
Persistent link: https://www.econbiz.de/10010942922
Cover Image
Bank holding company dividends and repurchases during the financial crisis
Hirtle, Beverly - Federal Reserve Bank of New York - 2014
Many large U.S. bank holding companies (BHCs) continued to pay dividends during the recent financial crisis, even as financial market conditions deteriorated, large losses accumulated, and emergency capital and liquidity were being provided by the official sector. In contrast, share repurchases...
Persistent link: https://www.econbiz.de/10010757407
Cover Image
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences
Peach, Richard Wilson; Potter, Simon; Alessi, Luci; … - Federal Reserve Bank of New York - 2014
This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped...
Persistent link: https://www.econbiz.de/10010823098
Cover Image
The rescue of Fannie Mae and Freddie Mac
Frame, W Scott; Fuster, Andreas; Tracy, Joseph; … - Federal Reserve Bank of New York - 2015
We describe and evaluate the measures taken by the U.S. government to rescue Fannie Mae and Freddie Mac in September 2008. We begin by outlining the business model of these two firms and their role in the U.S. housing finance system. Our focus then turns to the sources of financial distress that...
Persistent link: https://www.econbiz.de/10011207943
Cover Image
More resilient, better managed, less complex: strengthening FMUs and linkages in the system
Dahlgren, Sarah J. - Federal Reserve Bank of New York - 2014
Remarks at the Securities Industry and Financial Markets Association Conference, Boca Raton, Florida
Persistent link: https://www.econbiz.de/10010774309