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- Term Structure of Interest Rates, Yield Curve Residuals, and the ConsIstent Pricing of Interest Rates and Interest Rate Derivatives
- Dynamic term structure models DTSMs price interest rate derivatives based on the model implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. This paper proposes a new framework that consistently prices both interest rates and...
- White papers 2002-09-10
Additional Resources
- Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets
- This article analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion...
- White papers 2003-10-01
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, And Default Risk
- This article presents a model for pricing derivative and hybrid securities whose value may depend on different source of risk, namely, equity, interest-rate, and default risks. In addition to valuing such securities the framework also useful for extracting probabilities of default PD functions from market data. The model is not...
- White papers 2003-08-01
- A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, and Default Risk
- The article develop a model for pricing derivative and hybrid securities whose value may depend on different sources of risk, namely, equity, interest-rate, and default risks. In addition to valuing such securities, the framework is also useful for extracting probabilities of default PD functions from market data. The model is...
- White papers 2003-01-01
- Why Is Interest Rate Swap Usage Responding to the Yield Curve? A Proposal
- Interest rate swaps provide for a particularly interesting experiment. Unlike the commonly-used forward and futures contracts employed by firms to modify their currency and commodity cash flow exposures, interest rate swaps have cash flow implications at multiple times over the full life of the derivative contract. This paper examines the...
- White papers 2004-02-13
- A Simple Model For Pricing Derivative Securities With Equity, Interest-Rate, Default And Liquidity Risk
- This article provides a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, default and liquidity risks. The model is also useful for extracting probabilities of default PDs in a model with equity, interest rate and credit risk. The model is...
- White papers 2002-06-01
- BNP Paribas hires DrKW's Parisot to head rate swaps trading.
- Byline: Vivek Ahuja BNP Paribas has recruited Vincent Parisot, head of US dollar interest rate derivative trading at Dresdner Kleinwort Wasserstein DrKW, to co-head its interest rate swap and option trading business in New York.Parisot, who took up his new position in the last...
- Research articles 2002-08-23
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, Defualt And Liquidity Risk
- This paper develops a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, default and liquidity risks. The model is also useful for extracting probabilities of default PD functions from market data. The model is not based on the stochastic process...
- White papers 2003-01-01
- A Simple Unified Model For Pricing Derivative Securities With Equity, Interest-Rate, Default And Liquidity Risk
- This paper develops a model for pricing securities that may be a function of several different sources of risk, namely, equity, interest-rate, and default and liquidity risks. The model is also useful for extracting probabilities of default PD functions from market data. It is not based on the stochastic process...
- White papers 2003-01-01
- Evaluating and interpreting the effectiveness of end-user interest rate derivative disclosures
- Over the last decade derivative financial instruments have become a key component in firms' capital structures and financial management decisions. However, the huge derivatives losses experienced by Proctor and Gamble, Gibson Greetings, the Orange County Investment Pool, and Barings PLC have generated concerns about how best to measure, evaluate, and...
- Research articles 1998-12-22
- Four Oaks Fincorp, Inc. Announces Restatement of Financial Statements Due to Technical Clarification of Accounting for Certain Derivative Transactions
- Four Oaks Fincorp, Inc. (OTCBB: FOFN), holding company for Four Oaks Bank & Trust Company, today announced that that it will restate its historical financial statements for the year ended December 31, 2005 and for the first quarter of 2006 to amend the accounting for certain derivative transactions relating to...
- Research articles 2006-08-01
- How Do Investors Judge the Risk of Derivative and Non-Derivative Financial Items?
- The purpose of this article is twofold. First, it provides descriptive evidence on how investors perceive financial risk. Specifically, it identifies the dimensions that investors consider when judging the risk of financial items, such as bonds and interest rate swaps. Second, it investigates whether investors judge the risks related to...
- White papers 2001-05-22
- The Colonial BancGroup, Inc. Announces Restatement of Financial Results Reflecting an Expected Net Positive Non-Cash Adjustment for Certain Derivative Transactions
- MONTGOMERY, Ala. -- The Colonial BancGroup, Inc. (NYSE: CNB) Chairman and CEO, Robert E. Lowder, announced today that the Company is restating its annual financial statements for 2002, 2003, 2004 and interim financial statements for 2004 and 2005 to correct for the Company's technical interpretation of the derivative accounting rules....
- Research articles 2006-01-05
- The effect of mandated market risk disclosures on trading volume sensitivity to interest rate, exchange rate, and commodity price movements.
- I. INTRODUCTION The Securities and Exchange Commission SEC recently issued Financial Reporting Release No. 48 (SEC 1997, hereafter "FRR No. 48"), mandating forward-looking, quantitative market risk disclosures in companies' 10-K reports. FRR No. 48 defines market risk as the risk of loss due to adverse changes in market...
- Research articles 2002-04-01
- Four Opinions on OTC Derivatives
- Susan M. Mangiero submits: According to the Bank for International Settlements ("BIS"), the global market size for over-the-counter ("OTC") derivatives, as of June 2008, exceeded $683 trillion yes trillion or $683,725 billion. (These numbers reflect notional amounts outstanding.) Notably, an expanded use of interest rate swaps helped to push...
- External links 2008-12-14
- South Jersey Industries. Q4 2008 Earnings Call Transcript
- Earnings Call ExcerptSouth Jersey Industries SJI Q4 2008 Earnings Call February 26, 2008 1:30 pm ET Executives Ed Graham - Chairman and Chief Executive Officer David Kindlick - Chief Financial Officer Stephen Clark - Treasurer Analysts Ryan Rosenthal - Sidoti & Co. James Lykins - Hilliard Lyons Kathleen...
- Earnings calls 2009-02-26
- Derivative Fitch Names Damiano Brigo Head of Global CDO Risk Modelling
- NEW YORK & LONDON -- Derivative Fitch has hired Damiano Brigo as a Managing Director to lead the rating agency's Global CDO risk modelling efforts as part of Fitch's Quantitative Financial Research QFR group. Mr. Brigo is based in London and will focus on Fitch's efforts regarding modeling of innovative...
- Research articles 2007-07-03
- Southern Community Financial Corporation Announces Balance Sheet Repositioning to Improve Margins and Enhance Future Earnings; Restatement of Financial Statements Due to Technical Clarification of Accounting for Certain Derivative Transactions
- Southern Community Financial Corporation (NASDAQ: SCMF) (NASDAQ: SCMFO), parent company to Southern Community Bank and Trust, today announced that it had repositioned its investment portfolio to eliminate certain under-performing investments, improve net interest margin and net interest income levels, and mitigate overall interest rate risk exposure.
- Research articles 2006-07-12
- Minimizing Market Risks Through Interest Rate Swaps
- Many Orange County companies face market related risks such as exposures to interest rates, foreign exchange rates and even equity values. While there are strategies to minimize risk, most of these "capital markets" capabilities are typically available only to the largest of corporations. However, Mellon 1st Business Bank, a Los...
- Research articles 2007-05-21
- International Evidence on Financial Derivative Usage
- This paper presents international evidence on the use of financial derivatives for a sample of 7,263 non-financial firms from 48 countries including the United States. Across all countries, 60% of the firms use derivatives in general, while 45% use currency derivatives, 33% interest rate derivatives, and only 10% commodity price...
- White papers 2004-02-11
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