Financial Institutions Center - Callable Bonds and Hedging potx

... Inc. 13 - 35 Thus Δ NW/A = -Dur gap x Δi/(1+i) Δ NW/A = -1 .72 x 0.01/(1+0.10) = -0 .016 = -1 .6% With assets = $100m, the fall in NW when the interest rises from 10% to 11% equals -1 .6% ... Inc. 13 - 37 Off-Balance-Sheet Activities II • Trading activities and risk management techniques (continued) – Principal-agent problem – Internal Controls • Separation...

Ngày tải lên: 05/01/2014, 16:57

... (0.26) Size 0.32 -0 .53 -0 .84 (0.06) (0.05) (0.01) Foreign -1 .92 - - (0.02) Nonbank financial institutions -1 .19 1.07 2.35 (0.05) (0.20) (0.01) Connected nonbank financial institutions 1.43 -0 .45 -0 .46 (0.08) ... on financial institutions distress and closure generally follow a two-step approach. First, groups of financial institutions are classif...

Ngày tải lên: 18/10/2013, 08:15

... 9 Center of Mass and Linear Momentum In this chapter we will introduce the following new concepts: -Center of mass (com) for a system of particles -The velocity and acceleration of the center ... but the linear momentum is ( 9-1 3) 1 2 1 2 1 2 Consider two colliding objects with masses and , initial velocities and and final velocities and , respective Momentum and Ki...

Ngày tải lên: 23/12/2013, 00:16

... Copyright 2011  Pearson Canada Inc. 12 - 1 Chapter 12 Nonbank Financial Institutions Copyright 2011  Pearson Canada Inc. 12 - 10 Securities Market Operations • Investment Banking – Seasoned ... funds • Institutional Investors • Open-end vs. closed-end • Load vs no-load • Money Market Mutual Funds • Hedge Funds Copyright 2011  Pearson Canada Inc. 12 - 12 Private Equity...

Ngày tải lên: 05/01/2014, 16:57

... European US-dollar-put/Japanese-yen-call options, one of which would expire at the end of each month over the course of a year. In doing so, PAE obtained the right to sell US$20 million and buy ... simultaneous buy and sell of options (e.g., spread, collar). Second BGSU International Management Conference Global Risk Management Hyatt Regency, Cleveland, OH 1 7-1 8 April 2002 Manag...

Ngày tải lên: 24/01/2014, 06:20

... 1952. 1-2 009.12.  1987−2009 equals 1 in 1987. 3-2 009.12 and zero otherwise. Newey-West standard errors with 3 lags in brackets. * and ** denote significance at the 5% and 1% level respectively. p-va ... 1999. 4-2 009.12. UK data is monthly 1985. 4-2 009.12. Newey-West standard errors with 3 lags in brackets. * and ** denote significance at the 5% and 1% level respectively....

Ngày tải lên: 16/02/2014, 02:20

... 0.312 -0 .115 France -0 .351 -0 .356 0.435 0.006 Germany -0 .330 -0 .319 0.407 0.064 Ireland -0 .301 -0 .285 0.281 -0 .132 Italy -0 .155 -0 .130 0.482 -0 .117 Japan -0 .078 -0 .203 -0 .098 0.137 Netherlands ... Netherlands -0 .410 -0 .346 0.358 0.072 New Zealand 0.024 0.029 0.107 0.162 Norway -0 .169 -0 .240 0.357 -0 .057 Spai...

Ngày tải lên: 16/02/2014, 02:20

... data from 200 6-2 008 (pre- and post-crisis) we are also able to distinguish between demand and supply effects of the financial crisis. While there is an overall decrease in demand of loan applications ... 13 http://www.handelsblatt.com/unternehmen/banken-versicherungen/sparkassen-uebernehmen-garantien-fuer- bayernlb;1422114 11 losses resulting from the subprime exposure of t...

Ngày tải lên: 16/02/2014, 10:20

... recipients, 200 0-2 007 20 Table IV-1 – Value of exports, year-on-year, selected ESCAP developing economies 62 Table V-1 – Real GDP growth and consumer inflation rate, 2008 and 2009 73 Table V-2 – Oil ... the other hand, with less-developed financial markets and limited links with the global financial mar- kets, have been insulated to some extent from the global financial crisis...

Ngày tải lên: 17/02/2014, 21:20

... to which a randomly chosen bank belongs. There are two possibilities that can arise. First, a randomly chosen bank may be safe. Second, it may have in-degree j and out-degree k, and be vulnerable, ... 12 Further, the probability of a bank having in-degree j, out-degree k and being vulnerable is  j  p jk , where p jk is the joint degree distribution of in and out-degree. The model st...

Ngày tải lên: 17/02/2014, 21:20