Results 31 to 40 of about 34,635 (206)
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management [PDF]
, 2011 Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 ...
Bianchetti, Marco
core +2 more sources
Climate Transition Challenges: Exploring Credit Portfolio Misalignment in European Banks
Business Strategy and the Environment, EarlyView.ABSTRACT This paper examines the underlying factors contributing to the misalignment of banks' credit portfolios with European environmental objectives. Drawing on panel data on green lending from 2015 to 2023, the empirical analysis reveals that such misalignment is primarily influenced by the country and sector in which the financed firms operate ...
Lorenzo Fichera +2 more
wiley +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines the impact of environmental credit risk on bank financial performance, with a particular focus on the moderating role of country‐level climate risk. Using a global panel of 345 listed banks across 75 countries from 2018 to 2022, we measure environmental credit risk through Fitch Ratings' Environmental Relevance Scores.
Kenza Mouti +2 more
wiley +1 more source
CDS pricing under Basel III: capital relief and default protection [PDF]
, 2012 Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs ...
Green, Andrew, Kenyon, Chris
core +3 more sources
Credit Risk Assessment in the Climate Shadow: Evidence From White and Grey Literature
Business Strategy and the Environment, EarlyView.ABSTRACT Climate change is reshaping financial stability, making climate risk a critical component of banks' risk management. However, the absence of standardized frameworks validated by central authorities hinders banks' ability to integrate climate risk into existing credit risk models.
Rodolfo Raimondi +3 more
wiley +1 more source
Time-Inconsistent Bargaining and Cross-Commitments
Games, 2023 The paper studies bargaining games involving players with present-biased preferences. The paper shows that the relative timing of bargaining rewards and bargaining costs will determine whether the players’ present-bias will affect bargaining outcomes. In
Manuel A. Utset
doaj +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT To achieve carbon neutrality, it is crucial that private commercial and noncommercial firms also do their bit to adopt and implement green projects (GPs). Nonetheless, there is a lack of scholarly understanding regarding the elements that influence the implementation of GP by private firms, as well as the barriers to GP adoption and strategies
Xiaozhen Guo +3 more
wiley +1 more source
Financialization of Commodity Markets Co‐Movement Behind‐the‐Scenes
Journal of Futures Markets, EarlyView.ABSTRACT In the early 2000s, institutional investors entered the commodity futures markets en masse with passive, long only, index‐type positions in sharp contrast with those typically assumed by traditional expert participants. A heated public debate soon erupted over the perceived consequences of the phenomenon—commonly referred to as ...
Devraj Basu, Olivier Bauthéac
wiley +1 more source
A New Default Probability Calculation Formula and Its Application under Uncertain Environments
Discrete Dynamics in Nature and Society, 2018 In the real world, corporate defaults will be affected by both external market shocks and counterparty risks. With this in mind, we propose a new default intensity model with counterparty risks based on both external shocks and the internal contagion ...
Liang Wu, Xian-bin Mei, Jian-guo Sun
doaj +1 more source
Bank Capital Regulation and Derivatives Clearing
International Journal of Finance &Economics, EarlyView.ABSTRACT As part of the post global financial crisis banking reforms, regulators introduced a leverage ratio requirement, a minimum capital requirement over a bank's total exposures. We assess the consequences of this requirement for derivative clearing services to clients, which creates exposures for the dealers, by exploiting its earlier introduction
Jonathan Acosta‐Smith +2 more
wiley +1 more source