Results 71 to 80 of about 5,830,336 (226)

Global Banks and Local Rules: The Effects of Macroprudential Policy on US Bank Branch Lending

European Financial Management, EarlyView.
ABSTRACT The discretionary nature of macroprudential policy implementation may stimulate regulatory arbitrage opportunities by global banks, undermining national regulators’ efforts to fine‐tune business, credit or financial cycles within the domestic perimeter. This paper examines how local macroprudential tools affect the lending behaviour of foreign
Carmela D'Avino, Suwan Long, Mimoza Shabani, Maria Tselika   +3 more
wiley   +1 more source

Borrower‐lender political homophily and loan characteristics

Journal of Financial Research, EarlyView.
Abstract This study investigates political homophily between the top executives of borrowers and lenders. We observe a high level of political homophily between borrowers' and lenders' management teams, with a one‐standard‐deviation increase in homophily associated with an increase in spreads of approximately 126 basis points.
Abdulaziz A. Alshamrani, David Rakowski, Salil K. Sarkar   +2 more
wiley   +1 more source

Counterparty credit risk management in industrial corporates [PDF]

Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned.
Langkamp, Christian
core  

Banking with Inside Money: An Efficiency Analysis

Journal of Money, Credit and Banking, EarlyView.
Abstract We show that banks do not decentralize the first best in a nominal Diamond–Dybvig economy with inside money. Furthermore, state‐contingent deposit contracts do not expand the consumption possibility set to include the first best either. Central banks can improve welfare but only for savers and only with unconventional monetary policy. Finally,
DAVID RIVERO, HUGO RODRÍGUEZ MENDIZÁBAL   +1 more
wiley   +1 more source

A network of business relations to model counterparty risk [PDF]

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model.
Antonella Basso, Diana Barro
core  

Central counterparty clearing: constructing a framework for evaluation of risks and benefits [PDF]

A Central Counterparty (CCP) is an entity that interposes itself between transacting counterparties – a seller vis-à-vis the original buyer and a buyer vis-à-vis the original seller – to guarantee execution of the transaction.
Ripatti, Kirsi
core   +2 more sources

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2018
This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj   +1 more source

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Model-free bounds on bilateral counterparty valuation [PDF]

In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Ilg, Melanie, Werner, Ralf, Haase, Joerdis   +2 more
core  

Development prospects for the Russian credit derivatives market

Экономика и управление
Aim. This work aimed to formulate and substantiate development trends for the Russian credit derivatives market and demonstrate their prospects.Objectives.
I. I. Dobritsa
doaj   +1 more source