Videos

 

The Relative Effectiveness of the Fed Funds Futures and the Federal Open Market Committee (FOMC) Dot Plots in Predicting the Future Federal Funds Rate

JOHN BURKE
Special Professor of Finance at Leon Hess Business School, Monmouth University

 

 

Credit Default Swaps: A Cash Flow Analysis

TERRY BENZSCHAWEL
Managing Director at Citi Institutional Clients Group

Using a default probability model is essential for valuing credit default swaps, but also has practical applications to the broader bond markets.

 

 

Modification Success— What Have We Learned?

LAURIE S. GOODMAN
Senior Managing Director at Amherst Securities Group LP

Laurie discusses the different types of mortgage modification and outlines the three factors necessary for successful modification.

 

 

Inferring Default Probabilities from Credit Spreads

TERRY BENZSCHAWEL
Managing Director at Citi Institutional Clients Group

Default probabilities (PDs) for risky obligors are derived from market spreads and spread volatilities. The method assumes that 1) credit spreads, on average, are linear functions of spread volatility and that 2) investors require the same spread compensation per unit of spread volatility regardless of its source.