Narrow search
Showing 1 - 3 of 3
Cover Image
Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
Persistent link: https://www.econbiz.de/10010957120
Cover Image
Asset prices, collateral, and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - Deutsche Bundesbank - 2013
In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...
Persistent link: https://www.econbiz.de/10010984718
Cover Image
More or less aggressive? Robust monetary policy in a New Keynesian model with financial distress
Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - Deutsche Bundesbank - 2009
This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under … model misspecification leads to a more aggressive policy response. The same is true for a shock to collateral. A preference … of disturbances affect the economy: in the case of a shock to collateral the policymaker does not need to be as much …
Persistent link: https://www.econbiz.de/10005059030