Determinants of interest rate exposure of Spanish banking industry potx

... estimate of forward rates, option prices may move sharply when current spot rates are unchanged. 14 Basic Strategies with Interest Rate Options Using options to implement interest rate strategies offers ... to profit if this forecast is correct. A purchase of FVX put options would allow the holder to profit if rates do decline because as 5-year interest rates fall, so does the...

Ngày tải lên: 06/03/2014, 14:20

... Interest earnedfromloans/totalloans ReportedWeightedAverageDeposit Rate Interest paidondeposits/totaldeposits Reported Interest Rate Spread Interest Rate Spread(Profit&Loss) 16 A review of the literature uses specific ... Belizean system are a close proxy of the actual interest rate spread calculated from the profit and loss statements. 15 Figure...

Ngày tải lên: 15/03/2014, 14:20

... The effect of interest rate changes on bank stock returns Abstract This study examines the effect of publicly announced changes in official interest rates on the stock returns of the major ... context of ensuring eco- nomic growth and the stability of the banking sys- tem. The RBA adopted the practice of the publicized release of cash rate changes in January 1990 a...

Ngày tải lên: 15/03/2014, 01:20

... the banking industry does not increase the deposit interest rate, the net interest rate may be negative (interest rate < inflation rate) . Therefore, in the year 2004, the increase rate of ... Finance Regulation of Interest Rate by the State Bank of Vietnam (SBV) Page 18 of 20 Therefore SBV should set up interbank interest rate as targeted interest...

Ngày tải lên: 15/03/2014, 01:20

... easing of monetary policy under a zero interest rate. 17 99 Monetary Policy under Zero Interest Rate: Viewpoints of Central Bank Economists 14. On August 7, 2000, the MOF released the results of ... Purchase of Long-Term Government Bonds under Zero Interest Rate Chapters IV to VI will study the effects, risks, and side effects of the additional easing of monetary policy...

Ngày tải lên: 15/03/2014, 14:20

... long-term interest rate. The lower the level of long-term interest rates, the higher the impact of a change in the long-term rate on the underlying value of stocks. At the current level of long-term rates ... upward phase of the interest rate cycle, from 1988 to 1992. This second assumption takes account of both the interest rate cycle asymmetry of the pass-throug...

Ngày tải lên: 15/03/2014, 14:20

... COMPARISON OF INTEREST RATE FUTURES AND INTEREST RATE SWAPS A discussion of the economic role of interest rate swaps would not be complete without at least some mention of interest rate futures. Interest ... price of an interest rate swap consists of two different interest rates. In the case of a fixed/floating swap, the quoted interest rates involve a fix...

Ngày tải lên: 22/03/2014, 17:20

... typically able to incorporate a wider range of interest rate risk sources and can therefore provide a better measure of interest rate risk exposure. One such source of interest rate risk is ‘embedded ... value of that ADI’s positions in traded interest rate securities, such as government bonds, and traded interest rate swaps. Interest rate risk in the ban...

Ngày tải lên: 15/03/2014, 01:20

... change in the interest rate to obtain an estimate of the change in net interest income in each time band that would result from such an interest rate movement. The size of the interest rate movement ... the interest rate Interest rate Value (7) For higher interest rate changes, the concept of convexity can be used. This is based on the second derivative of th...

Ngày tải lên: 22/03/2014, 17:20

... (2009). Determinants of interest rate exposure of Spanish banking industry. Working Paper of University of Castilla-La Mancha. Czaja, M G., H. Scholz, and M. Wilkens (2010). Interest rate risk ... states the ratio of the bank’s interest rate exposure to the interest rate risk exposure of the bond portfolio, i.e. k i (t)= BV P i (t) BV P S . (11) If the...

Ngày tải lên: 16/02/2014, 06:20