Similar Search Results

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the …

Persistent link: https://www.econbiz.de/10010257509

A noisy principal component analysis for forward rate curves

Laurini, Márcio Poletti; Ohashi, Alberto - In: European journal of operational research : EJOR 246 (2015) 1, pp. 140-153

Persistent link: https://www.econbiz.de/10011341688

Bond indifference prices

Lorig, Matthew; Zou, Bin - In: Quantitative finance 21 (2021) 7, pp. 1223-1233

Persistent link: https://www.econbiz.de/10012588039

Impact of mortgage soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186

Persistent link: https://www.econbiz.de/10014251350

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods

Ma, Zonggang; Ma, Chaoqun; Wu, Zhijian - In: Review of derivatives research 25 (2022) 1, pp. 47-91

Persistent link: https://www.econbiz.de/10013191382

Designing GDP-linked bonds with default

Leventides, John; Melas, Evangelos; Poulios, Costas; … - In: Applied economics quarterly 67 (2021) 4, pp. 311-335

Persistent link: https://www.econbiz.de/10014228939

Risk-adjusted loan pricing

Fiordelisi, Franco; Palego, Carlo; Richetto, Annalisa; … - In: Risk management magazine 17 (2022) 3, pp. 8-24

We analyze what are the main pricing components for performing loans. By exploiting a survey conducted by the authors … in AIFIRM (2021), we provide empirical evidence about whether and to what extent various pricing criteria are related to … risk-adjusted profitability measures in the pricing, while it is negatively linked to higher market competition, a …

Persistent link: https://www.econbiz.de/10013501174

Impact of soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - 2023

Persistent link: https://www.econbiz.de/10014470089

Interest rate swaps

Wei, Bin; Yue, Vivian Z. - In: Research handbook of financial markets, (pp. 407-428). 2023

Persistent link: https://www.econbiz.de/10014331087

Which interest rate scenario is the worstone for a bank?Evidence from a tracking bank approach forGerman savings and cooperative banks

Memmel, Christoph - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

Interest income is the most important source of revenue for most of thebanks. The aim of this paper is to assess the impact of different interest ratescenarios on the banks' interest income. As we do not know the interest ratesensitivity of real banks, we construct for each bank a portfolio with...

Persistent link: https://www.econbiz.de/10005866360