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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

Persistent link: https://www.econbiz.de/10011259157

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

Persistent link: https://www.econbiz.de/10011260721

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices …

Persistent link: https://www.econbiz.de/10011110035

Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...

Persistent link: https://www.econbiz.de/10008457180

The effects of capital requirements on real economy: a cointegrated VAR approach for US commercial banks

Miele, Maria Grazia - Volkswirtschaftliche Fakultät, … - 2013

This paper addresses the following questions: which was the contribution of banks’assets to the US’ expansion in the period until the financial crisis? Did commercial banks respect capital requirements? The two questions are strictly interrelated as, according to a recent literature,...

Persistent link: https://www.econbiz.de/10011258987

How can we anticipate crises?

Vieru, Elena Bianca - Volkswirtschaftliche Fakultät, … - 2011

relevant explanations in this regard come from the Austrian School of economics. We refer, in particular, to the theory of …

Persistent link: https://www.econbiz.de/10011260392

Market Discipline during Crisis: Evidence from Bank Depositors in Transition Countries

Hasan, Iftekhar; Jackowicz, Krzysztof; Kowalewski, Oskar; … - Volkswirtschaftliche Fakultät, … - 2012

The Central European banking industry is dominated by foreign-owned banks. During the recent crisis, for the first time since the transition, foreign parent companies were frequently in worse financial conditions than their subsidiaries. This situation created a unique opportunity to study new...

Persistent link: https://www.econbiz.de/10011260888

Taipei,China's banking problems: lessons from the Japanese experience

Montgomery, Heather - Volkswirtschaftliche Fakultät, … - 2002

Over the past decade, the health of the banking sector in Taipei,China has been in decline. Falling returns on assets and equity, steadily rising non-performing loans and bank runs at smaller financial institutions have highlighted problems across the banking sector as a whole. This study...

Persistent link: https://www.econbiz.de/10009277288

Banks As Social Accountants: Credit and Crisis Through an Accounting Lens

Bezemer, Dirk J - Volkswirtschaftliche Fakultät, … - 2009

This paper probes the role of banks and credit in our socio-economic system using the metaphor of banks as social accountants (Stiglitz and Weiss 1988). It highlights the credit nature of money, and thus the fact that money is an accounting construct. This motivates the viewing of financial...

Persistent link: https://www.econbiz.de/10005055497

The financial meltdown: a model with endogenous default probability

Ferrari, Massimo - Volkswirtschaftliche Fakultät, … - 2014

Abstract Starting from some of the most recent literature developed after the world financial crisis, it has been developed a model with heterogeneous agents and an active interbank market, characterized by an endogenous default probability. The key feature of the analysis is that the...

Persistent link: https://www.econbiz.de/10011156994