Showing 1 - 7 of 7
This paper estimates the impact of the Federal Reserve’s 2008–2011 quantitative easing (QE) program on the US term structure of interest rates. We estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed’s trades on Treasury market prices. As...
Persistent link: https://www.econbiz.de/10010989562
This paper studies capital adequacy rules based on Value-at-Risk (VaR), leverage ratios, and stress testing. VaR is the basis of Basel II, and all three approaches are proposed in Basel III. This paper makes three contributions to the literature. First, we prove that these three rules provide an...
Persistent link: https://www.econbiz.de/10010867546
Persistent link: https://www.econbiz.de/10010867547
Persistent link: https://www.econbiz.de/10005678296
Persistent link: https://www.econbiz.de/10005678300
Persistent link: https://www.econbiz.de/10008926019
Persistent link: https://www.econbiz.de/10008673722