Papers and Memos from the Federal Reserve Board

Title Economist Date PDF
Derivative Information Provided on Bank Call Reports James O'Brien May 23, 2003 Link
VIX Index Becomes Model Free and Based on the S&P 500 Hao Zhou October 6, 2003 Link
Bank Trading Revenues, VaR, and Market Risk James O'Brien February, 2004 Link
Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions Hao Zhou March, 2004 Link
Recent Trends in Bank Derivatives James O'Brien April 7, 2004 Link
Written Interest Rate Options and Mortgage Commitments James O'Brien June 3, 2004 Link