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 |
---|
Credit Default Swaps: A Cash Flow Analysis 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 discusses the different types of mortgage modification and outlines the three factors necessary for successful modification. |
---|
Inferring Default Probabilities from Credit Spreads 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. |
---|