A Currency Player In the Heartland
- Hedging of a credit default swaption in the CIR default intensity model. Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek // Finance & Stochastics;2011, Vol. 15 Issue 3, p541
An important issue arising in the context of credit default swap (CDS) rates is the construction of an appropriate model in which a family of options written on credit default swaps, referred to hereafter as credit default swaptions, can be valued and hedged. The goal of this work is to...
- Managerial Ownership, Incentive Contracting, and the Use of Zero-Cost Collars and Equity Swaps by Corporate Insiders. Bettis, J. Carr; Bizjak, John M.; Lemmon, Michael L. // Journal of Financial & Quantitative Analysis;Sep2001, Vol. 36 Issue 3, p345
Zero-cost collars and equity swaps provide insiders with the opportunity to hedge the risk associated with their personal holdings in the company's equity. Consequently, their use has important implications for incentive-based contracting and for understanding insider trading behavior. Our...
- Derivative doozies. // Treasury & Risk Management;May/Jun95, Vol. 5 Issue 3, p10
Surveys various transactions in the international derivative market. Structured notes and index futures as chief culprits in swelling derivatives losses; Reverberations of the investment and trading debacles of Orange County and Barings Bros.; Derivative losses by types.
- The latest hedge for dealers and investors: swaps. Keegan, Jeffrey; O'Leary, Christopher // Investment Dealers' Digest;08/02/99, Vol. 65 Issue 31, p7
Reports on the growing swap spreads in the United States due to the increasing use of swaps as a hedge for credit risk. Comparison between swaps and US Treasurys; Supply and demand imbalance in spread product; Conservatism in the business practices of swaps dealers.
- We all share risk of the folly that destroyed Barings Bank. Stupple, Robert J. // Hudson Valley Business Journal;3/20/95 - 3/27/95, Vol. 6 Issue 23, Special report: Banking p2
Comments on various aspects of derivatives. Definition of security derivatives; Barings Bank's problem with derivatives; Advice on dealing with derivatives.
- Derivatives. // Economic Trends (07482922);Jun95, p15
Discusses the United States derivatives. Concern about the large number of banking industry participants and potential losses under financial market volatility; Commercial banks' holdings; Factors for growth.
- The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps. Chernenko, Sergey; Faulkender, Michael // Journal of Financial & Quantitative Analysis;Dec2011, Vol. 46 Issue 6, p1727
Existing cross-sectional findings on nonfinancial firmsï¿½ use of derivatives that are usually interpreted as the result of hedging may alternatively be due to speculation. Panel data examinations can distinguish between derivatives practices that endure over time and are therefore more...
- Conservatives Go Exotic. McDonald, Michael // Bond Buyer;3/5/2002, Vol. 339 Issue 31337, p1
Reports the use of municipal derivatives market to swap to a fixed rate on the bonds in Charlotte, North Carolina. Entities to diversify balance sheets with acceptable percentage of variable-rate debt; Increase in the amount of hedging; Dependence of the swapping rates on the investment banks.
- Futures versus swaps: Some considerations for the thrift industry. Marshall, John F. // Review of Business;Winter90/91, Vol. 12 Issue 3, p15
Compares swaps and futures hedging strategies and its implications for thrift institutions in the United States. Features of the two strategies; Sample case of thrift institutions; Source of the thrift's long-term interest rate risk.