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Pricing and Hedging of Contingent Credit Lines.
Neftci, Salih N - 2006
Intro -- Contents -- I. Introduction -- II. Market Practice -- III. Modeling a CCL -- IV. Replicating Portfolio -- V. Pricing -- A. Method 1 -- B. Method 2 -- VI. Hedging Issues -- VII. Concluding Remarks -- References.
Persistent link: https://www.econbiz.de/10012691053
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A Framework for Financial Market Development
Chami, Ralph - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10012677821
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Limits of Market-Based Risk Transfer and Implications for Managing Systemic Risks.
Kim, Yoon Sook - 2006
Intro -- Contents -- Executive Summary -- I. INTRODUCTION -- II. LONG- TERM SYSTEMIC RISKS -- III. INNOVATIONS IN RISK TRANSFER MARKETS -- IV. INCOMPLETE MARKETS -- V. POLICY CONSIDERATIONS -- VI. CONCLUSIONS -- References.
Persistent link: https://www.econbiz.de/10012691045
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New Evidence on Spillovers Between Crypto Assets and Financial Markets
Iyer, Roshan - 2023
We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks. There is evidence of...
Persistent link: https://www.econbiz.de/10015059059
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Assessing Macrofinancial Risks from Crypto Assets
Hacibedel, Burcu - 2023
Failures in the crypto space-including the fall of Terra USD and the FTX debacle-have sparked calls for strengthening countries' policy frameworks for crypto assets, including by enhanced regulation and supervision. How have these heightened concerns about crypto assets been picked up in...
Persistent link: https://www.econbiz.de/10015059060
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Predicting Financial Crises: The Role of Asset Prices
Hennig, Tristan - 2023
We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price … growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 … advanced and emerging economies over 1995-2017, we show that the combination of rapid asset price growth and low asset price …
Persistent link: https://www.econbiz.de/10015059236
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Central Bank Response to the 2007-08 Financial Market Turbulence : Experiences and Lessons Drawn
Stella, Peter - 2008
The paper reviews the policy response of major central banks during the 2007-08 financial market turbulence and suggests that there is scope for convergence among central bank operational frameworks through the adoption of those elements that proved most instrumental in calming markets. These...
Persistent link: https://www.econbiz.de/10014409061
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An Anatomy of Credit Booms
Terrones, Marco - 2008
We study the characteristics of credit booms in emerging and industrial economies. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations and widening external deficits. Micro data show a strong association between credit...
Persistent link: https://www.econbiz.de/10012677365
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Informality and Bank Credit
Koeda, Junko - 2008
The paper relies on a firm-level data on transition economies to examine the relationship between informality and bank credit. We find evidence that informality is robustly and significantly associated with lower access to and use of bank credit. We also find that higher tax compliance costs...
Persistent link: https://www.econbiz.de/10012677574
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Credit Booms and Lending Standards
Dell'Ariccia, Giovanni - 2008
price increases. We also find that the underlying market structure mattered, with entry of new, large lenders triggering …
Persistent link: https://www.econbiz.de/10012677586