The institutional framework for the functioning of covered bonds (list zastawny - L.Z.) in Poland was established already in 1997 and first issues took place in 2000; by 2013, L.Z. accounted for a few percent of property market funding, mostly with respect to commercial property. The latest...

In the first section, this paper describes the methods employed to calculate the first ever hedonic price index created in the Czech Republic using data from the country’s biggest mortgage lenders. This section also presents the wider context of the creation of this index and its practical...

The exposure of the argentine banking system to real interest rate changes is material and discourages long term credit. Quantification of this risk would help to manage it and may promote new credit, although it is not an easy job, especially in emerging markets. This paper proposes a Value at...

Risk diversification is one of the many reasons for cross-sector mergers of financialinstitutes. This paper presents a fair-value type asset and liability model in order to identify diversification effects for financial conglomerates (PCs) under various shocks. My analysis for the Netherlands...

Most corporate loans are priced at rounded spreads, e.g. spreads that are a multiple of 25 basis points. Using a sample of 16,598 loan tranches signed by US borrowers between January 1988 and December 2010, this study explores the determinants of such interest rate clustering in the corporate...

The author created a model that describes the relationship between the current bank interest rate (rate on loans extended to business entities) and future corporate bond yield (in the text this is formula # 17): Cbank = (k+Cbond)/(1-r). Where: CBank is interest rate on bank loans; CBond is bond...

The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable rate mortgage and student loans....

Considering the way that the world economy has evolved over the last 30-40 years, there was a transition from a predominant real economy to a predominant financial economy. Once, there were prevalent economic crises (when the real economy was important); today, the economies all around the world...

Starting from the structural model developed by Merton (1974) and the derived notion of distance-to-default, we study the determinants of credit default swap (CDS) spreads for a sample of European banks over a period from January 2006 to December 2011. In particular, we test variables that are...