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Market liquidity risk and its incorporation into value at risk

Strnad, Petr - In: Acta Oeconomica Pragensia 2009 (2009) 2, pp. 21-37

Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used comprehensive tool for assessment of potential losses caused by adverse changes in market rates. However, the common models used for VaR assessment are based only on mid prices...

Persistent link: https://www.econbiz.de/10005079050

Central Bank´s Foreign Exchange Reserves Accumulation and Dynamics of Banking System Liquidity Absorption: The Case of the Czech Republic, Poland and Hungary

Brůna, Karel - In: Politická ekonomie 2010 (2010) 6, pp. 723-746

analyzed how monetary policy instruments (on outright or repo basis) enable central bank to react on volatility of banking … system liquidity needs and to cover issued currency in circulation and bank´s reserves by net foreign assets. In empirical …

Persistent link: https://www.econbiz.de/10008802572

Germanization and Exclusion of Jews in the Westböhmischer Bergbau-Aktien-Verein (West Bohemian Mining Joint-stock Association)

Kubů, Eduard - In: Acta Oeconomica Pragensia 2008 (2008) 3, pp. 110-119

. It clearly illustrates one of the roles of the banking sector, in this case the Dresdner Bank, in the process of …

Persistent link: https://www.econbiz.de/10005036349

The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy

Brůna, Karel - In: Politická ekonomie 2007 (2007) 6, pp. 829-851

The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate … supports hypothesis of consistency between Czech National Bank monetary policy and its expected outcomes by banks. …

Persistent link: https://www.econbiz.de/10005036706