This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004-9. We use the T-bill-Eurodollar (TED) spread to measure credit risk in the money...
Ted spread on the rise as eurozone sovereigns remain stable
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Ted spread articles
The cost of dollar lending in the interbank market rose 17bp overnight, but the cost of euro and sterling borrowing was down marginally today.
Overnight euro Libor remained unchanged from yesterday at 2.9%, despite the announcement a €200 billion stimulus package to shore up the struggling economies of European Union (EU) member states.
Volatility in the US equity market is at near-record levels, but the interbank market remained stable today.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.