... Inc.
13 -
35
Thus
Δ NW/A
= -Dur
gap
x Δi/(1+i)
Δ NW/A = -1 .72 x 0.01/(1+0.10) = -0 .016 = -1 .6%
With assets = $100m, the fall in NW when the
interest rises from 10% to 11% equals -1 .6% ... Inc.
13 -
37
Off-Balance-Sheet Activities II
•
Trading activities and risk management
techniques (continued)
–
Principal-agent problem
–
Internal Controls
•
Separation...
... 9
Center of Mass and Linear Momentum
In this chapter we will introduce the following new concepts:
-Center of mass (com) for a system of particles
-The velocity and acceleration of the center ... but the linear momentum is
( 9-1 3)
1 2
1 2 1 2
Consider two colliding objects with masses and ,
initial velocities and and final velocities and ,
respective
Momentum and Ki...
... European US-dollar-put/Japanese-yen-call
options, one of which would expire at the end of
each month over the course of a year.
In doing so, PAE obtained the right to sell US$20
million and buy ... simultaneous buy and sell of options
(e.g., spread, collar).
Second BGSU International Management Conference
Global Risk Management
Hyatt Regency, Cleveland, OH
1 7-1 8 April 2002
Manag...
... 1952. 1-2 009.12.
1987−2009
equals 1 in 1987. 3-2 009.12 and zero otherwise.
Newey-West standard errors with 3 lags in brackets.
* and ** denote significance at the 5% and 1% level respectively.
p-va ... 1999. 4-2 009.12.
UK data is monthly 1985. 4-2 009.12.
Newey-West standard errors with 3 lags in brackets.
* and ** denote significance at the 5% and 1% level respectively....
...
data from 200 6-2 008 (pre- and post-crisis) we are also able to distinguish between demand and
supply effects of the financial crisis. While there is an overall decrease in demand of loan
applications ...
13
http://www.handelsblatt.com/unternehmen/banken-versicherungen/sparkassen-uebernehmen-garantien-fuer-
bayernlb;1422114
11
losses resulting from the subprime exposure of t...
... recipients, 200 0-2 007 20
Table IV-1 – Value of exports, year-on-year, selected ESCAP
developing economies 62
Table V-1 – Real GDP growth and consumer inflation rate, 2008 and 2009 73
Table V-2 – Oil ... the other hand,
with less-developed financial markets and
limited links with the global financial mar-
kets, have been insulated to some extent
from the global financial crisis...
... to which a randomly
chosen bank belongs. There are two possibilities that can arise. First, a randomly chosen bank
may be safe. Second, it may have in-degree j and out-degree k, and be vulnerable, ... 12
Further, the probability of a bank having in-degree j, out-degree k and being vulnerable is
j
p
jk
, where p
jk
is the joint degree distribution of in and out-degree.
The model st...