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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame … Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial … College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011554963
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Extraction of inflation expectations from financial instruments
Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018
In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...
Persistent link: https://www.econbiz.de/10011883446
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A no-arbitrage structural vector autoregressive model of the UK yield curve
Kaminska, Iryna - Bank of England - 2008
This paper combines a structural vector autoregression (SVAR) with a no-arbitrage approach to build a multifactor affine term structure model (ATSM). The resulting no-arbitrage structural vector autoregressive (NA-SVAR) model implies that expected excess returns are driven by the structural...
Persistent link: https://www.econbiz.de/10005086588
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Term at Risk Estimation for the Philippines
Eloriaga, Justin - 2021
Understanding the movements of the yields on key government securities and the risks associated with the downside of the distribution of the yield curve are crucial to understanding the movements of the markets influenced by short-term rates. Moreover, understanding how macrofinancial factors...
Persistent link: https://www.econbiz.de/10013230485
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The launch of HUFONIA and the related international experience of overnight indexed swap (OIS) markets
Erhart, Szilárd; Kollarik, András - In: MNB Bulletin 6 (2011) 1, pp. 20-29
solvency of the banking system. The essential conditions of market development, such as the availability of a reliable …
Persistent link: https://www.econbiz.de/10009145963
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How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market
Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017
We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...
Persistent link: https://www.econbiz.de/10011721608
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How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?
D. Yıldırım, Burcu; Coskun, Yener; Caglar, Ozan; … - Volkswirtschaftliche Fakultät, … - 2012
factors, we come up with proxy risk exposure figures for the whole banking system. After a proper adjustment, these figures … banking system. Nevertheless, in light of the new regulatory framework introduced by Basel III, the importance of credit and …
Persistent link: https://www.econbiz.de/10011259897
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame … Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial … College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011557140
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Banks, markets, and efficiency
Fecht, Falko (contributor); Martin, Antoine (contributor) - 2005
welfare because it only reduces risk sharing. In contrast, in the U.S. banking system, where there is less competition for … ; risk sharing ; banking competition ; comparing financial systems …
Persistent link: https://www.econbiz.de/10002917590
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Liquidity Stress-Tester : A Model for Stress-Testing Banks’ Liquidity Risk
van den End, Jan Willem - 2011
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
Persistent link: https://www.econbiz.de/10013133881