This paper investigates the determinants of swap spreads. Compared with previous work done in this area, such as the seminal paper by Duffie and Singleton (1997), the paper includes daily credit spreads data in the time series framework. The issue is whether “liquidity” or “credit” (or...

Estimating and pricing correlation of credit deterioration is difficult, but can be handled with standard notions of correlation. The same however is not true for default events. The notion of correlation that one needs to use in dealing with credit default is fundamentally different from the...

This paper presents a study of extreme interest rate movements in the U.S. Federal Funds market over almost a half century of daily observations from the mid 1950s through the end of 2000. We analyze the fluctuations of the maximal and minimal changes in short term interest rates and test the...