As explained in Prof. Robert Jarrow's book cited below, forward rates contain a risk premium above and beyond the market's expectations for the 3-month forward rate. We document the size of that risk ...
In light of the interest-rate-risk-driven failure of Silicon Valley Bank on March 10, 2023, we've added a chart showing how interest rate mismatching increases default risk. The calculation applies to ...
Journal of Management Information Systems, Vol. 34, No. 2 (2017), pp. 401-424 (24 pages) This study examines the predictive power of self-disclosed social media information on borrowers’ default in ...
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