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were characterized by rapid growth without major contractions, by an increase in liquidity, a lack of inflation, and a … generalized decrease in risk premiums. Additional similarities included significant changes in the financing of real estate by …
Persistent link: https://www.econbiz.de/10011110198
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
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
risk. A positive, significant and robust effect of liquidity on capital was identified. Both regulatory and equity capital …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 …
Persistent link: https://www.econbiz.de/10009151556
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
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
, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, 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
, we focus on the role of risk, liquidity and investment banking fees. Panel analysis shows that those variables … the regime of low default risk is reported, whilst fee-income ratio has also a positive impact for banks with low level of … fees. On the other hand, liquidity exerts a negative impact. Notably, there is a clear trend of mobility of banks across …
Persistent link: https://www.econbiz.de/10011111521
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
After more than two decades of inflation targeting in the world, it is important to evaluate if the adoption of this regime in a relevant developing country contributed to the creation of a better environment for the process of entrepreneurs' expectations formation. Brazil is part of an...
Persistent link: https://www.econbiz.de/10011271311