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The pass-through of market interest rates to bank interest rates
Documentos Ocasionales, 2023The pass-through of market interest rates to the financial conditions of households and firms is an essential element in the monetary policy transmission mechanism. In this paper, we analyse how this transmission is playing out in the current hiking cycle in the euro area and in Spain, as compared to previous cycles.
Sergio Mayordomo, Irene Roibás
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Interest Rates in the $Eurobond Market
The Journal of Financial and Quantitative Analysis, 1978Since the early 1960's the European capital market has witnessed rapid growth as a source of short- and long-term dollar denominated funds to international borrowers and as an alternative investment area to potential lenders. While considerable work has analyzed the determinants of short-term dollar denominated Eurorates (Eurodollar yields), less work ...
Joseph E. Finnerty +2 more
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The market liquidity of interest rate swaps
The Journal of Financial Market InfrastructuresThis paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. Banks and Pension Funds extensively rely on IRS to hedge interest rate risk.
Boudiaf, Ismael Alexander +2 more
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The Loan Market, Collateral, and Rates of Interest
Journal of Money, Credit and Banking, 1976This paper develops a theoretical model in which collateral is a mechanism for enforcing loan contracts. Collateral functions in two ways in the model. First, default on a loan triggers the loss of collateral value to the borrower, where this value is stochastic at the time when the loan is negotiated.
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2012
Acknowledgments. Introduction. Chapter 1: Tools of the Trade. Basic Statistics. Regression The Fundamentals. Regression How Good a Fit? Principal Components Analysis. Scaling Through Time. Backtesting Strategies. Summary. Chapter 2: Introduction to Bonds. Basics of Bonds. Risks Embedded in Fixed Income Instruments. Discounting. Bond Pricing.
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Acknowledgments. Introduction. Chapter 1: Tools of the Trade. Basic Statistics. Regression The Fundamentals. Regression How Good a Fit? Principal Components Analysis. Scaling Through Time. Backtesting Strategies. Summary. Chapter 2: Introduction to Bonds. Basics of Bonds. Risks Embedded in Fixed Income Instruments. Discounting. Bond Pricing.
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2002
One dollar today is better than one dollar tomorrow and one dollar tomorrow is certainly better than one dollar in one year. In other words, time is money. But what should be paid today or tomorrow or, more generally at time t, for a guaranteed cash payment of one dollar at a time T, T ≥ t, in the far future?
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One dollar today is better than one dollar tomorrow and one dollar tomorrow is certainly better than one dollar in one year. In other words, time is money. But what should be paid today or tomorrow or, more generally at time t, for a guaranteed cash payment of one dollar at a time T, T ≥ t, in the far future?
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The Market for Interest Rate Swaps
Financial Management, 1988by a floating interest rate. Although the instrument only first appeared in 1982,1 U.S. dollar interest rate swaps have grown into a market with 1987 volume estimated at $542 billion.2 With such growth has come concern about the risks in this market. Indeed, in their capital adequacy proposal, the Federal Reserve and the Bank of England suggest, "The ...
Clifford W. Smith +2 more
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A Quantum Mechanics for Interest Rate Derivatives Markets
SSRN Electronic Journal, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Interest Rate Derivatives Markets
2015There are today, many different interest rates, and since this can be confusing for newcomers to the area, we will spend some time discussing the various types; we will concentrate only on a small number of them, which will form the building blocks for the derivatives markets.
Christian Crispoldi +2 more
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The Impact of Interest Rate Marketization on the Interest Rate Risk of Commercial Banks
2019 3rd International Conference on Data Science and Business Analytics (ICDSBA), 2019With the continuous advancement of interest rate marketization in China, the volatility and uncertainty of interest rate levels have become more and more significant. As is well known, merchant banks, as the core of the financial system, are derived from net interest income. Therefore, interest rate venture will also become a major risk affecting China’
Yue Yu, Liu Lan
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