When LIBOR becomes LIEBOR: Reputational penalties and bank contagion
We study whether commonality of incentives and opportunity to commit fraud trigger
reputational contagion from culpable firms to nonculpable firms. Relying on a sample of 30 …
reputational contagion from culpable firms to nonculpable firms. Relying on a sample of 30 …
Understanding the LIBOR scandal: The historical, the ethical, and the technological
This article examines the conception of banking regulation through the lens of the LIBOR
scandal. The narrative of the scandal addresses the debate surrounding the public versus …
scandal. The narrative of the scandal addresses the debate surrounding the public versus …
An empirical analysis of multi‐period hedges: Applications to commercial and investment assets
JE Hilliard, P Huang - … of Futures Markets: Futures, Options, and …, 2005 - Wiley Online Library
This study measures the performance of stacked hedge techniques with applications to
investment assets and to commercial commodities. The naive stacked hedge is evaluated …
investment assets and to commercial commodities. The naive stacked hedge is evaluated …
Barriers to depository uses of derivatives: an empirical analysis
AMB Hogan, DH Malmquist - Journal of Multinational Financial …, 1999 - Elsevier
We examine the relationship between derivatives use of US savings associations during
1993–1997. The advantage of examining thrifts is that they are only end-users of derivatives …
1993–1997. The advantage of examining thrifts is that they are only end-users of derivatives …
[PDF][PDF] The Value of OTC Derivatives: Case Study Analyses of Hedges by Publicly Traded Non-Financial Firms
The goal of this study is to examine the value of over-the-counter (OTC) derivatives for
publicly traded non-financial firms. We analyze several publicly traded firms that reported the …
publicly traded non-financial firms. We analyze several publicly traded firms that reported the …
A General Model for Hedging Swaps with Eurodollar Futures
RJ Rendleman Jr - The Journal of Fixed Income, 2004 - search.proquest.com
A hedging model based on a cubic spline interpolation methodology model automatically
reflects timing differences between futures maturates and swap payment dates, actual …
reflects timing differences between futures maturates and swap payment dates, actual …
A comment on “A hedging deficiency in eurodollar futures”
IG Kawaller - Journal of Futures Markets: Futures, Options, and …, 2007 - Wiley Online Library
Professor Chance's analysis shows that hedge results from eurodollar futures are imperfect;
and he credits the futures contract design as being the source of the error. This comment …
and he credits the futures contract design as being the source of the error. This comment …
Derivatives and depository interest rate risk: An empirical analysis
A Hogan, D Malmquist - Available at SSRN 110048, 1998 - papers.ssrn.com
This paper empirically examines the relationship between the use of on-and-off-balance
sheet derivatives and the interest rate risk of US savings associations during 1993-1997 …
sheet derivatives and the interest rate risk of US savings associations during 1993-1997 …
Öltermingeschäfte und die Krise der Metallgesellschaft in den Jahren 1993-1995
T Mann - Journal of Contextual Economics …, 1997 - elibrary.duncker-humblot.com
Zentraler Auslöser des Beinahe-Konkurses der Metallgesellschaft AG (MG) in den Jahren
1993-1995 waren Öltermingeschäfte der amerikanischen Tochtergesellschaft MGRM. Im …
1993-1995 waren Öltermingeschäfte der amerikanischen Tochtergesellschaft MGRM. Im …
In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets
R Poskitt - Journal of Futures Markets: Futures, Options, and …, 2008 - Wiley Online Library
This study examines daily and intraday data on sterling interest rate futures and IMM forward
rate agreement (FRA) contracts for evidence of the convexity adjustment in FRA quotes. The …
rate agreement (FRA) contracts for evidence of the convexity adjustment in FRA quotes. The …