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Narrow Banking: Theory, evidence and prospects in India
Ghosh, Saibal; Saggar, Mridul - Volkswirtschaftliche Fakultät, … - 1998
The narrow banking proposal defining a class of safe and liquid assets (generally sovereign Government securities) for investments by weak banks, backed fully by demand liabilities (generally non-interest bearing deposits) has been considered as a means of deposit protection and a possible...
Persistent link: https://www.econbiz.de/10005089315
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Corporate Debt Market in India: Lessons from the South African Experience
Anand, Vaibhav; Sengupta, Rajeswari - Volkswirtschaftliche Fakultät, … - 2014
Development of long-term debt markets is critical for the mobilization of the huge magnitude of funding required to finance potential businesses as well as infrastructure expansion. India has been distinctly lagging behind other emerging economies in developing its long-term corporate debt...
Persistent link: https://www.econbiz.de/10011107354
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Corporate Debt Market in India: Issues and Challenges
Sengupta, Rajeswari; Anand, Vaibhav - Volkswirtschaftliche Fakultät, … - 2014
, Thailand and China. A liquid corporate bond market can play a critical role by supplementing the banking system to meet the …
Persistent link: https://www.econbiz.de/10011110169
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Fixed-income instrument pricing.
ilya, gikhman - Volkswirtschaftliche Fakultät, … - 2006
In this article we discuss the fundamentals of pricing of the popular financial instruments. The basic point of our approach is to extend the present value benchmark concept. The present value valuation approach plays the similar role as The Newton Laws in the Classic Mechanics. Thus our primary...
Persistent link: https://www.econbiz.de/10005835618
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Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10008530717
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Term Structure Equations Under Benchmark Framework
El Qalli, Yassine - Volkswirtschaftliche Fakultät, … - 2009
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10004980411
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Axiomatization of residual income and generation of financial securities
Ghiselli Ricci, Roberto; Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2009
This paper presents an axiomatization of residual income, aka excess profit, and illustrates how it may univocally engenders fixed-income or variable-income assets. In the first part it is shown that, depending on the relations between excess profit and the investor's excess wealth, a...
Persistent link: https://www.econbiz.de/10005619494
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The mathematics of Ponzi schemes
Artzrouni, Marc - Volkswirtschaftliche Fakultät, … - 2009
A first order linear differential equation is used to describe the dynamics of an investment fund that promises more than it can deliver, also known as a Ponzi scheme. The model is based on a promised, unrealistic interest rate; on the actual, realized nominal interest rate; on the rate at which...
Persistent link: https://www.econbiz.de/10005619865
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On the market portfolio for multi-asset classes
Louis, Rodolphe; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2012
references as their principal problem is to define their stock/bond asset mix policy. It is especially true for institutional …
Persistent link: https://www.econbiz.de/10011113146
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Estimating term structure changes using principal component analysis in Indian sovereign bond market
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2012
from government bond trading using Nelson-Siegel functional form. This decomposition of the yield curve highlights …
Persistent link: https://www.econbiz.de/10011113377