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

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …

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

Markets Evolution After the Credit Crunch

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

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

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

Bank capital and risk in the South Eastern European region

Athanasoglou, Panayiotis - Volkswirtschaftliche Fakultät, … - 2011

This paper examines the simultaneous relationship between bank capital and risk. A model is set up which assumes that … banks’ decisions regarding capital and risk are made endogenously in a dynamic pattern. A simultaneous equation system was … relationship between regulatory (equity) capital and risk which is positive (negative). However, a positive two-way relationship …

Persistent link: https://www.econbiz.de/10009151556

Basel III and responding to the recent Financial Crisis: progress made by the Basel Committee in relation to the need for increased bank capital and increased quality of loss absor...

Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2010

Accord, Basel II, evolved to a form of meta regulation – a type of regulation which involves the risk management of internal …

Persistent link: https://www.econbiz.de/10008646772

A tale of three countries, dispersed ownership and greater risk taking levels by management: risk monitoring tools in bank regulation and supervision – developments since the colla...

Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2011

automatically facilitate lower risk taking levels – where there is scope for the abuse of powers. As well as illustrating why …

Persistent link: https://www.econbiz.de/10008805896

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

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

, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …

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

Liquidity risk and contagion in interbank markets: a presentation of Allen and Gale Model

FERROUHI, El Mehdi; LEHADIRI, Abderrassoul - Volkswirtschaftliche Fakultät, … - 2013

The paper analyzes liquidity risk and contagion in interbank markets. The aim of the research is to define the … model in the management of liquidity risk in the interbank market. We will then analyze the mechanisms that explain the … spread of liquidity risk in the banking system both at national and international level. …

Persistent link: https://www.econbiz.de/10011111992