On the Forward-Futures Spread and Default Risk

We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures spread is signiﬁcant forrealistic parameter values. Our results contrast the wide-spread beliefthat the forward-futures spread is negligible. We also give examplesof markets where our results apply.

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Year of publication:	2003-03-01
Authors:	Murawski, Carsten
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Marge \| Ausfallrisiko \| Zinsstruktur \| Term structure model

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Extent:	40 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 65 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005858907