Modelling the Evolution of Credit Spreads in the United States Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital Staff Working Paper 2004-20 Joseph Atta-Mensah The author suggests that commodity-linked bonds could provide a potential means for less-developed countries (LDCs) to raise money on the international capital markets, rather than through standard forms of financing. Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial markets, International topics JEL Code(s): F, F3, F30, F34, F4, F49, G, G1, G11, G13, O, O1, O16
Collateral and Credit Supply Staff Working Paper 2003-11 Joseph Atta-Mensah The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […] Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C14, C2, C22, G, G1, G13