comprises price risk and interest rate risk

... Flow Risk- free rate +15bps Risk- free rate minus variable negative spread34 Risk- free rate Risk- free rate minus variable negative spread35 Risk- free rate Risk- free rate +15bps Risk- free rate +15bps ... market, credit, interest rate risk in the banking book, operational and other risks) and computing returns on risk weighted assets, Kuritzkes and Schuermann (2007) find that interest rate risk in the ... marked-to-market and interest rate risk arises due to volatility in the bank’s net interest income In contrast to standard models, however, we integrate credit and interest rate risk using the...

Ngày tải lên: 29/03/2014, 13:20

... Systematic interest rate risk in a two-index model of returns, Journal of Financial and Quantitative Analysis 9, 709-721 Sweeney, R.J and A.D Warga, 1986, The pricing of interest- rate risk: Evidence ... exchange rate risk. ’ Our results indicate that in fact exchange rates exert an important influence on bank stock returns independent of the other market and interest rate factors The sign and significance ... exchange rate and the interest rate may be related through an international interest rate parity (IRP) condition However, because our data-based expectational procedure does not specify a separate...

Ngày tải lên: 22/03/2014, 17:20

... bank's interest rate and currency derivative contracts and the bank's interest rate and exchange rate risks Particularly noteworthy is the influence of currency derivatives on exchange rate betas ... interest rate and exchange rate exposures they entail As evidenced by their popularity as a risk management and trading tool, derivatives directly affect a bank’s interest rate and exchange risk ... operations and risk, without focusing on derivatives and their impact on interest rate and exchange rate risks specifically While a few authors, such as Choi, Elyasiani and Kopecky (1992) and Grammatikos,...

Ngày tải lên: 29/03/2014, 13:20

... positions in interest- rate futures Finally, less than percent of the sample banks report having open positions in interest- rate swaps, interest- rate options, interest- rate forwards, and interest- rate ... use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans Robustness Check To check ... commercial and industrial loan portfolios More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interestrate futures, and interest- rate forwards,...

Ngày tải lên: 17/02/2014, 03:20

... with robust standard errors in brackets The symbols *, **, and *** represent significance levels of 10%, 5%, and 1% respectively 32 Fig Interest rates on overdrafts and interbank rate in Italy ... interest rates charged to firms was significantly lower than that experienced by money market rates, and therefore the spread between the two rates, typically considered a measure of credit risk ... macroeconomic conditions (policy rates, real GDP, inflation, interest rate volatility), are captured by the constant α Following Albertazzi and Marchetti (2010) and Hale and Santos For a survey on...

Ngày tải lên: 17/02/2014, 03:20

... floating interest rate and the cap rate Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate Interest rate collar Combination of cap and floor Interest ... survey (FRAs, interest rate swaps, cross-currency swaps, and foreign exchange and interest rate options) averaged $659 billion, up percent See Chart Chart 2: Daily U.S FX and Interest Rate Derivatives ... contracts These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross-currency rate swaps, and foreign exchange and interest rate options Turnover in these instruments...

Ngày tải lên: 06/03/2014, 02:21

... intensity and interest rates In this section we consider a model with stochastic intensity and interest rates In this kind of models λ is a stochastic process but, conditional on the filtration generated ... Brigo and Mercurio (2001, 2001b) We will often use the integrated process, that is t t β t Λ(t) = λs ds, and also Y β (t) = ys ds and Ψ(t, β) = ψ(s, β)ds We take the short interest- rate and the ... since the attractive feature of the model is the separate and semi-automatic calibration of the interest- rate part to interest- rate data and of the intensity part to credit market data Indeed,...

Ngày tải lên: 06/03/2014, 04:21

... rather standard division into net interest income and non -interest income, the net interest income from the business with non-banks (with respect to loans and deposits) and other sources of interest ... Demirg¨c-Kunt and Huizinga (1999) and Gischer and J¨ttner (2003) Interest rate differentials (i.c u¸ u gaps between contractual interest rates and money market rates) as ex-ante measures of banking ... of several factors (interest rates for outstanding amounts and new business on both sides of the balance sheet, the level and the structure of interest- earning assets and interest- bearing liabilities),...

Ngày tải lên: 06/03/2014, 14:20

Ngày tải lên: 15/03/2014, 01:20

... this series may be subject to further publication Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies Balázs Égert, Oesterreichische Nationalbank; EconomiX ... 18 21-Nov-05 12-Oct-04 02-May-05 24-Mar-04 Romania Turkey -1 -3 27-Jul-05 8-Mar-05 8-Oct-04 interest rate 20-May-04 24-Dec-03 29-Jul-03 actual 7-Mar-03 2-Oct-02 verbal -5 13-Feb-06 4.0 3.5 3.0 ... tkl/usd 0.2 0.0 20-Dec-05 2-Jan-06 ron/eur 25-Nov-05 21-Oct-05 12-Aug-05 3-Jun-05 16-Sep-05 interest rate 8-Jul-05 actual 29-Apr-05 24-Mar-05 12-Jan-05 17-Feb-05 verbal Νοτε: Τηε ριγητ−ηανδ σχαλε...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

... zero -interest- rate bound and the role of the exchange rate for monetary policy in Japan” by G Coenen and V Wieland, March 2003 219 “Extra-euro area manufacturing import prices and exchange rate ... events using a SUR approach Interest rate swap spreads are defined as the difference between the interest rate of the fixed leg of the 10-year interest rate swap and the 10-year government bond ... activity and market liquidity rather than a genuine default risk For these reasons, we will look primarily at interest rate swap spreads, defined as the difference between the 10-year interest rate...

Ngày tải lên: 22/03/2014, 23:20

... Data Interest rates and interest rate futures: Table A1 below lists for each of the six economies the source of the eight 90-day interest rate futures, the policy rate and the 30-day interest rate ... change in 30-day interest rates on the day of monetary policy decisions, consistent with Campbell and Lewis (1998) and Kohn and Sack (2003) This 30-day interest rate, a market interest rate, should ... Kohn and Sack (2003) and Chadha and Nolan (2001), we estimate a model that allows us to judge the effect on both the mean and the standard deviation of the daily changes in expected interest rates...

Ngày tải lên: 22/03/2014, 23:20

... of lending rates and interest rate spreads in Croatia between 1999 and 2003 Čihák supposes that interest rate spread is a function of the deposit rate, total assets, market share, and the share ... of Banks' Interest Rates, i.e the interest rate data are related to all currencies, maturities and sectors interest rate spread - the difference between the lending and the deposit rate in the ... investigating the determinants of lending rates and interest rate spreads In order to quantify the effect of various factors on lending rates and interest rate spreads during the last decade, we...

Ngày tải lên: 22/03/2014, 23:20

... Cochrane and Piazzesi (2005), Campbell and Shiller (1991), Stambaugh (1988), Fama and Bliss (1987)) Risk premiums on interest rates are positive on average and timevarying Sack (2004) and Piazzesi and ... professional interest rate forecasts at both three and twelve month horizons To measure interest rate volatility I use the historic standard deviation of the same interest rates Section describes ... goods and services, o¢ cial reserves import cover and year-on-year exchange rate movement Essentially the risk ratings provide a standardized and parsimonious way to re‡ a variety of economic and...

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 30/03/2014, 01:20

Ngày tải lên: 15/02/2014, 05:20

... to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation The systematic factor for the exposure to interest rate risk ... intermediaries and interest rate risk: II Financial Markets, Institutions and Instruments 15 (5), 225–272 16 Svensson, L E O (1994) Estimating and interpreting forward interest rates: Sweden 1992 ... loans and collecting short-term deposits It is important to understand the opportunities and risks related to term transformation Supervisors are especially concerned about banks’ interest rate risk...

Ngày tải lên: 16/02/2014, 06:20

... interest rate risk For example, interest rate swaps are typically created so that their market price is equal to zero initially, but they still mitigate the bank’s exposure to interest rate risk ... Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest Rate Surprise Level Swaps 0.212 ... Selected Interest Rates and the Associated Interest Rate Surprises Percent Daily Target federal funds rate 5-year Treasury yield 1997 1999 2001 2003 2005 2007 (a) Selected Interest Rates Basis...

Ngày tải lên: 17/02/2014, 03:20

... and those with higher interest rate risk exposure or holding of complex instruments with significant interest- rate option characteristics may require more elaborate and formal interest rate risk ... and maintain effective internal controls over the interest rate risk management process; monitor the licensee’s overall interest rate risk profile and ensure that the level of interest rate risk ... and control functions; and comprehensive internal controls and independent audits RISK IDENTIFICATION AND MEASUREMENT 8.1 Accurate and timely identification and measurement of interest rate risk...

Ngày tải lên: 15/03/2014, 01:20