The risk of foreign currency contingent claims at US commercial banks

@inproceedings{Chaudhry2000TheRO,
  title={The risk of foreign currency contingent claims at US commercial banks},
  author={Mukesh K. Chaudhry and Rohan Christie-David and Timothy W. Koch and Alan K. Reichert},
  year={2000}
}
  • Mukesh K. Chaudhry, Rohan Christie-David, +1 author Alan K. Reichert
  • Published 2000
This study investigates the relationship between market-based measures of risk and foreign currency contingent claims activity at US commercial banks. Speci®cally, four types of foreign currency contingent claims are examined: purchased foreign currency option contracts, foreign-exchange swaps, commitments to purchase foreign currency and forward contracts… CONTINUE READING