swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …

market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …

from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … more appropriate than the plain second partial derivative often used. We apply this technique to the LIFFE three …

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …