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When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after September 11
3 references·1 citing·15 second hop
When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after September 11 (2004)When the Back Office Moved to the Front B…Special Repo Rates: An Empirical Analysis (1997)Special Repo Rates: An Empiri…Special Repo Rates (1996)Special Repo RatesFixed Income Analytics (1996)Fixed Income AnalyticsWho Makes On-the-Run Treasuries Special? (2005)Who Makes On-the-Run Treasuri…Common Factors Affecting Bond Returns (1991)An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)Securities lending, shorting, and pricing (2002)A Theory of the Term Structure of Interest Rates (1985)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Auctions of Divisible Goods: On the Rationale for the Treasury Experiment (1993)Tax and Liquidity Effects in Pricing Government Bonds (1998)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)The Term Structure of Interbank Risk (2012)The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Cost of Short‐Selling Liquid Securities (2012)The use of collateral in bilateral repurchase and securities lending agreements (2019)When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11 (2002)A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration (2006)Preferred habitat for liquidity in international short-term interest rates (2007)
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References

  • 1997Special Repo Rates: An Empirical Analysis209 cited
  • 1996Special Repo Rates71 cited
  • 1996Fixed Income Analytics59 cited

Cited by

  • 2005Who Makes On-the-Run Treasuries Special?20 cited

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