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Overview of central banks' in-house credit assessment systems in the euro area
Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos … - 2021
Persistent link: https://www.econbiz.de/10012990461
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ECB's AnaCredit : useful but impossible for the non-euro area
Dumitrescu-Pasecinic, Adrian - In: Journal of banking regulation 22 (2021) 2, pp. 145-151
Persistent link: https://www.econbiz.de/10012550348
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Overview of central banks' in-house credit assessment systems in the euro area
Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos … - 2021
source of credit risk assessment within the Eurosystem collateral framework. They allow counterparties to mobilise as … collateral the loans (credit claims) granted to non-financial corporations (NFCs). In this way, ICASs increase the usability of … non-marketable credit claims that are normally not accepted as collateral in private market repo transactions, especially …
Persistent link: https://www.econbiz.de/10012650851
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The influence of a heterogeneous banking sector on the Interbank market rate in the Euro area
Neyer, Ulrike; Wiemers, Jürgen - In: Swiss journal of economics and statistics 140 (2004) 3, pp. 395-428
Persistent link: https://www.econbiz.de/10002383571
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The Variance Risk Premium in Equilibrium Models
Bekaert, Geert - 2020
The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down....
Persistent link: https://www.econbiz.de/10012839638
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Profit and Loss Distributions on a Market of Single Futures Contract
Salov, Valerii - 2019
Profit and loss distributions of trading strategies with position limits and transactions costs are divided on industry gain and traders interest and determined for a single futures contract. Open interest and volume are expressed for a multiset of strategies with constraints. These strategies...
Persistent link: https://www.econbiz.de/10012896280
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The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
Kim, Myeong Hyeon - 2017
We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market implied volatility and investigate economic determinants on slopes and...
Persistent link: https://www.econbiz.de/10012969150
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Model Calibration and Automated Trading Agent for Euro Futures
Creamer, Germán G. - 2013
We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting's feature selection capability to select an optimal combination of...
Persistent link: https://www.econbiz.de/10013091289
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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...
Persistent link: https://www.econbiz.de/10013194146
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On the effects of the ECB's funding policies on bank lending
Gibson, Heather D.; Hall, Stephen G.; Petroulas, Pavlos; … - In: Journal of international money and finance 102 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012392318