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The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy
Capuano, Christian - International Monetary Fund (IMF) - 2008
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and...
Persistent link: https://www.econbiz.de/10005599478
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The Indian banking system
Sutton, Maxwell - In: Bulletin / Reserve Bank of Australia (2021), pp. 65-73
Persistent link: https://www.econbiz.de/10012804588
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European Union; Publication of Financial Sector Assessment Program Documentation—Technical Note on Macroprudential Oversight and the Role of the ESRB
International Monetary Fund (IMF); International … - 2013
This article reviews the European Systematic Risk Board (ESRB), its role, approach, outputs, and effects in the European Union. The ESRB is the reason for macroprudential oversight of financial systems. Macroprudential policy is used to identify and reduce financial risks and limit financial...
Persistent link: https://www.econbiz.de/10011245046
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The Chicago Plan revisited : a friendly critique
Fiebiger, Brett - In: European journal of economics and economic policies : … 11 (2014) 3, pp. 227-249
Persistent link: https://www.econbiz.de/10010512302
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Corporate debt covenants in Australia
Nguyen, Kim - In: Bulletin / Reserve Bank of Australia (2021), pp. 57-64
Persistent link: https://www.econbiz.de/10012804587
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The nexus of safe asset shortage, credit growth, and financial instability
Kim, Sujin - 2020
hypothesis of safe asset shortage-induced excess credit booms and financial instability. As an alternative step forward from the …. Using the index, consecutive empirical exercises confirm the positive relationship of safe asset shortage-credit expansion …-2013 presents new evidence that the (high) level of private credit at a time of increasing safe asset shortage is the major …
Persistent link: https://www.econbiz.de/10012253869
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How effective is macroprudential policy? : evidence from lending restriction measures in EU countries
Poghosyan, Tigran - 2019
-service-to-income ratios, in affecting developments in house prices and credit. We use data on 99 lending standard restrictions implemented in … house prices and credit. However, the impact is delayed and reaches its peak only after three years. In addition, the impact …
Persistent link: https://www.econbiz.de/10012009445
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Drivers of systemic banking crises : the role of financial account structure and financial integration
Ahrend, Rudiger; Goujard, Antoine - In: International finance 17 (2014) 2, pp. 135-160
Persistent link: https://www.econbiz.de/10010510536
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The formation of financial networks
Babus, Ana - 2006
Modern banking systems are highly interconnected. Despite their various benefits, the linkages that exist between banks carry the risk of contagion. In this paper we investigate how banks decide on direct balance sheet linkages and the implications for contagion risk. In particular, we model a...
Persistent link: https://www.econbiz.de/10011349710
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The Latvian financial stress index as an important element of the financial system stability monitoring framework
Siņenko, Nadežda; Titarenko, Deniss; Āriņš, Mikus - In: Baltic journal of economics 13 (2013) 2, pp. 85-110
Persistent link: https://www.econbiz.de/10010241898