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Modern Banking and OTC Derivatives Markets; The Transformation of Global Finance and its Implications for Systemic Risk

Drees, Burkhard; Schinasi, Garry J.; Kramer, Charles … - International Monetary Fund (IMF) - 2001

Persistent link: https://www.econbiz.de/10005590943

Bond risks based on factor volatilities

Staub, Renato - 1996

Persistent link: https://www.econbiz.de/10004310594

Die Eignung eines Futures auf implizite Forwardvolatilitäten zum Handeln des Vega-Risikos von Optionen

Roth, Randolf - 1997

Persistent link: https://www.econbiz.de/10004379817

Der VOLAX-Future - ein Derivat zum Handeln des Vega-Risikos von Optionen

Roth, Randolf - 1998

Persistent link: https://www.econbiz.de/10004379820

Monetary Implications of Cross-Border Derivatives for Emerging Economies

Morales, Armando Méndez - International Monetary Fund (IMF) - 2001

cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting … substitutability, and incorporate the enriched information set provided by derivative-based transactions into monetary policy design …

Persistent link: https://www.econbiz.de/10005599523

Measuring off-Balance-Sheet Leverage

Breuer, Peter - International Monetary Fund (IMF) - 2000

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

Persistent link: https://www.econbiz.de/10005263810

Thailand; Financial Sector Assessment Program: Technical Note: Fixed Income Markets

International Monetary Fund (IMF); International … - 2009

This technical note focuses on fixed income markets for Thailand. The note recommends that Thailand should begin an orderly transition from merit-based regulation of corporate issuers and institutional investors to a disclosure-based regulatory system that opens the debt market to a larger and...

Persistent link: https://www.econbiz.de/10011243082

Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …

Persistent link: https://www.econbiz.de/10008530717

Valuation of fixed income securities and derivatives

Fabozzi, Frank J. - 1995

Persistent link: https://www.econbiz.de/10004307671

Valuation of fixed income securities and derivatives

Fabozzi, Frank J. - 1998 - 3. ed.

Persistent link: https://www.econbiz.de/10004372412