Search results with tag "Newyorkfed"
Climate Stress Testing - newyorkfed.org
www.newyorkfed.orgthe Dynamic Conditional Beta (DCB) model. The third step is to compute CRISK, which is a function of a given nancial rm’s size, leverage, and expected equity loss conditional on climate stress. This step is based on the same methodology as SRISK ofAcharya et al.(2011),Acharya et al.(2012), andBrownlees and Engle(2017), with the climate factor
2017 Open Market Operations - newyorkfed.org
www.newyorkfed.org2017 3 Overview aa b d ad c cd aac d a ad ab Contents a a c a a d In 2017, the Desk continued to conduct open market operations in U.S. money markets and securities markets at the direction of the
Negative Swap Spreads - newyorkfed.org
www.newyorkfed.orgswap interest rates for a specific period, typically with one rate fixed and the other an agreed-upon floating rate, such as the three-month Libor (London interbank offered rate). At $288 trillion outstanding in notional value,1 the interest rate swap market is the largest over-the-counter