An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical tests indicate that the model is misspecified. In particular the pricing errors are related to the slope of the swap yield curve. The economic importance of these shortcomings is highlighted when the model is confronted with data on cap and swaption prices. Pricing errors are large relative to the bid-ask spread in these markets. The model tends to overvalue shorter maturity caps and undervalue longer maturity caps. With only one or two factors, the model also tends to undervalue swaptions. Our findings point out the need for evaluating term structure models using data on derivative prices.

Конституционное регулирование права на объединение в профсоюзы в Украине и странах Европейского Союза: сравнительно-правовой анализ

The constitutional regulation of the status of trade unions in Ukraine has incorporated all international standards and, in comparison with some constitutions of the states of the European Union, contains detailed regulation of this right. The effective functioning of the institution of trade unions can have a significant impact not only on the protection of the social and economic rights of workers in the process of interaction with employers, but also influence the public authorities in order to optimize the implementation of social policy at the national level and reduce social tension.Konstitucinis profesinių sąjungų statuso reglamentavimas Ukrainoje apėmė visus tarptautinius standartus ir, palyginti su kai kuriomis Europos Sąjungos valstybių narių konstitucijomis, yra detalus. Veiksmingas profesinių sąjungų instituto veikimas gali turėti reikšmingą poveikį ne tik darbuotojų socialinių ir ekonominių teisių apsaugai bendradarbiaujant su darbdaviais, bet ir daryti įtaką valdžios institucijoms, siekiant optimizuoti socialinės politikos įgyvendinimą nacionaliniu lygiu ir mažinti socialinę įtampą

Offshore Financing through Guam

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Accrediting Agencies’ Legal Responsibilities: In Pursuit of the Public Interest

This article considers the evolution in the way courts have labeled or categorized accrediting agencies, and the legal and policy consequences of this evolution. Discussion will then focus on the public interest standard that is the core of these developments and on ways in which accrediting agencies can fulfill their legal responsibilities under this standard

Judicial Review of Accreditation: The Parsons College Case

Since courts have seldom become involved in the process of educational accreditation that operates in the United States, the private regional and professional accrediting agencies that evaluate our educational institutions have generally functioned without judicial (or for that matter, legislative) interference. This freedom from any form of governmental control has been of singular importance in shaping the development of a private accreditation system unique to this country. Any court case challenging some aspect of this system could, therefore, be of enormous significance to education and the future of accreditation in the United States. Such a case is Parsons College v. North Central Association of Colleges and Secondary Schools, decided on July 26, 1967, by the United States District Court for the Northern District of Illinois