Banks have been shown to price international commercial loans to sovereign borrowers by setting certain levels of interest rate, loan maturity, and grace period in order to properly adjust for risk of nonpayment. We demonstrate a model employing these risk adjustment parameters to determine if a...

The presence of bias in index futures prices has been investigated in various research studies. Redfield (<link href="#bib11">11</link>) asserted that the U.S. Dollar Index (USDX) futures contract traded on the U.S. Cotton Exchange (now the FINEX division of the New York Board of Trade) could be systematically arbitraged...

The manner in which securities indices are constructed can introduce systematic bias that has found to be arbitrageable. Research has tried to provide structural correction factors, called drift factors, which serve to balance the index against an offsetting position in equivalent securities in...

Insufficient balances can be traded off for higher interest rates in equivalent basis points that are easily computed. Bankers, however, are not likely to be aware of the complexity and possible quot;unfairnessquot; of these arrangements when consideration is given to the replenishment period of...

Paper details the reasons why relationship managers move between firms, bringing with them valuable money relationships. Based upon a survey of 43 money managers, we found that the reasons for leaving are complex and that managers who change often bring the largest number of accounts but not the...

We have found that the USDX futures contract as respecified in response to the newly traded Euro now possess only a trivial drift factor. This seems to be due to the fact that the Index now is comprised largely of two currencies, Sterling and the Euro, that are expressed in American terms. Also,...