Narrow search
Showing 1 - 10 of 3,572
Cover Image
Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
banks …
Persistent link: https://www.econbiz.de/10011906282
Cover Image
Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration
Burgess, Nicholas - 2018
In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...
Persistent link: https://www.econbiz.de/10012925163
Cover Image
Assessing the risk-return trade-off in loans portfolios
Mencía, Javier - Banco de España - 2009
with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in …
Persistent link: https://www.econbiz.de/10004969766
Cover Image
The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding of the benefits and potential pitfalls with respect...
Persistent link: https://www.econbiz.de/10011923506
Cover Image
How Chinese Banks Reduce Lending While Expanding Credit and the Hidden 2 Trillion RMB in Liquidity : A Case Study on the Bank of Chongqing and Huishang Bank
Balding, Christopher - 2015
Chinese banks have sought ways to rapidly expand lending in light of strict regulatory mandates to reduce official … collateralize repurchases remain a channel for banks to increase their balance sheet and reduce official lending. Many banks even … classify repurchase lending underneath the heading of lending to banks. As back door lending funds roll-overs and commodity …
Persistent link: https://www.econbiz.de/10013033802
Cover Image
Shadow banking : financial intermediation beyond banks
Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018
Persistent link: https://www.econbiz.de/10011790739
Cover Image
Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …
Persistent link: https://www.econbiz.de/10012926760
Cover Image
Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of …
Persistent link: https://www.econbiz.de/10013128337
Cover Image
Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of …
Persistent link: https://www.econbiz.de/10013131934
Cover Image
Decomposing financial (in)stability in emerging economies
Lepers, Etienne; Sánchez Serrano, Antonio - 2017
The build-up of risks in advanced economies has seen a lot of research efforts in the recent years, while similar research efforts on emerging economies have not been so strong and, when undertaken, have focused mostly on its international dimension. Simultaneously, the financial system of the...
Persistent link: https://www.econbiz.de/10011976156