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Coupon Destruction Dec 2010_Final
The phenomenon of coupon destruction in fixed income
Seven Faces Final Jul 28
Bullard's Seven Faces
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Euribor panel for June 2010. Sorted by rates at 3mth Euribor and 1yr maturities
Fitch - Spanish Banks Stress Tests
Fitch's construction of a stress test, outlines several different scenarios
Thoughts About FTP
Funds transfer pricing concepts for banking...
Rajan and Bird - Maturity Mismatches
A model describing maturity mismatches - when assets and liabilities have dif...
Keen Are We It Yet Paper Final
Keen using a Minsky model tells me what I've suspected all along. The austeri...
BBA LIBOR Strengthening Paper
Taking a look at LIBOR... again...
US CMBS Loss Study - 2009
Fitch's latest study on loss/recovery rates for CMBS.
Lecture11 Duration Mismatch
Good illustration of duration mismatches and how to hedge them.
Pce-monthly Ccaroc (Sa)
Continuously compounded ann'l. rate of change in PCE, Fed's preferred inflati...
Cpi-monthly Ccaroc (Sa)
Continuously compounded annual rate of chg in CPI
Core CPI Monthly
Data & chart for Rolling 12 mth CPI change



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