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La politique monétaire à l'heure du marché mondial des capitaux

Cailleteau, Pierre (ed.); Grunspan, Thierry (contributor) - 1998

Persistent link: https://www.econbiz.de/10000992488

Credit and Liquidity in Interbank Rates: a Quadratic Approach.

Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013

We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...

Persistent link: https://www.econbiz.de/10010815975

Pre-crisis credit standards: monetary policy or the savings glut?

Penalver, A. - Banque de France - 2014

This paper presents a theoretical model of how banks set their credit standards. It examines how a monopoly bank sets its monitoring intensity in order to manage credit risk when it makes long duration loans to borrowers who have private knowledge of their project's stochastic profitability. In...

Persistent link: https://www.econbiz.de/10010961061

Do LTV and DSTI caps make banks more resilient?

Dietsch, M.; Welter-Nicol, C. - Banque de France - 2014

This study provides responses to the question of the effectiveness of Loan-To-Value (LTV) and Debt Service-To-Income (DSTI) caps to contribute to financial stability. Using a lender’s risk management perspective, the paper provides a new methodology extending the standard asymptotic single...

Persistent link: https://www.econbiz.de/10010929761

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...

Persistent link: https://www.econbiz.de/10010929765

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

Persistent link: https://www.econbiz.de/10010929766

Default, liquidity and crises: an econometric framework

Monfort, A.; Renne, J-P. - Banque de France - 2011

In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

Persistent link: https://www.econbiz.de/10009275672

Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering

Malik, S.; Pitt, M. K. - Banque de France - 2011

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

Persistent link: https://www.econbiz.de/10008854101

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

Forecasting growth during the Great Recession: is financial volatility the missing ingredient?

Ferrara, L.; Marsilli, C.; Ortega, J-P. - Banque de France - 2013

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

Persistent link: https://www.econbiz.de/10010815989