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 three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
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.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.