Since interest rate swaps became common in the 1980s, the conventional wisdom has been that the interest rate swap spread over...
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February 3, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the February 2, 2012 constant maturity Treasury yields that were reported...
The Dangers of Using Rating Agency Default Rates in Credit Risk Management
On March 9, 2009, my partner Prof. Robert Jarrow and I wrote a blog entitled “The Rating Chernobyl,” predicting that rating...
January 27, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the January 26, 2012 constant maturity Treasury yields that were reported...
Why Borrowing Rates Should Never Be Tied to Credit Default Swap Spreads
A recent blog on Reuters named three prominent American corporations in the post “Links to CDS measures growing common in bank...
January 20, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the January 19, 2012 constant maturity Treasury yields that were reported...
The Credit Default Swap Market and Anti-Trust Considerations
This is the seventh in a series of blogs on trading volume and the degree of competitiveness in the credit derivatives market....
International Bank Credit Default Swap Trading Volume
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust...
January 13, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the January 12, 2012 constant maturity Treasury yields that were reported...
Sovereign Credit Default Swap Trading Volume
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust...
Municipal Credit Default Swap Trading Volume
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust...
Credit Default Swaps and Deposit Insurance
On December 28, Prof. Scott Richard published an article in the Financial Times advocating the use of credit default swap...