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Trading Risk, Market Liquidity, and Convergence Trading in the Interest Rate Swap Spread
Kambhu, John - Federal Reserve Bank <New York, NY> - 2006
[...]This article analyzes empirical evidence on the limits ofarbitrage in the interest rate swap market as well as on howtrading risk can affect market liquidity and amplify shocks inasset prices. We study these issues in terms of the behavior ofthe interest rate swap spread—the spread...
Persistent link: https://www.econbiz.de/10005869677
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Hedge funds, financial intermediation and systemic risk
Kambhu, John; Schuermann, Til; Stiroh, Kevin J. - In: Economic policy review 13 (2007) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10003673221
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Hedge funds, financial intermediation, and systemic risk
Kambhu, John (contributor); Schuermann, Til (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003522718
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Hedge funds, financial intermediation and systemic risk
Kambhu, John (contributor); Schuermann, Til (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003526043
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Securities trading and settlement in Europe : issues and outlook
Goldberg, Linda S.; Kambhu, John; Mahoney, James M.; … - In: Current issues in economics and finance 8 (2002) 4, pp. 1-6
Persistent link: https://www.econbiz.de/10001701010
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The effect of interest rate options hedging on term-structure dynamics
Kambhu, John; Mosser, Patricia C. - In: Economic policy review 7 (2001) 3, pp. 51-70
Persistent link: https://www.econbiz.de/10001634867
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Enhancing the liquidity of US Treasury securities in an era of surpluses
Bennett, Paul; Garbade, Kenneth D.; Kambhu, John - In: Economic policy review 6 (2000) 1, pp. 89-119
Persistent link: https://www.econbiz.de/10001495379
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Enhancing the liquidity of US treasury securites in an era of surpluses
Bennett, Paul; Garbade, Kenneth; Kambhu, John - 1999
Persistent link: https://www.econbiz.de/10001463942
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Dealers' hedging of interest rate options in the US dollar fixed-income market
Kambhu, John - In: Economic policy review 4 (1998) 2, pp. 35-57
Persistent link: https://www.econbiz.de/10001247330