Citibank swaps

Citibank swaps

Citibank   swaps
... exchange rates — swaps Specifically, we discuss interest-rate and currency swaps As used in this course, the term “swap” refers to these two forms of swaps only Foreign exchange swaps are covered ... Interest-rate Hedges UNIT – Interest-rate Swaps UNIT – Currency Swaps UNIT – Customer Uses of Swaps UNIT – Accounting Treatment and Risk Management UNIT – Special Forms of Swaps COURSE OBJECTIVES When you ... Objectives .4-1 Capital Market Uses of Swaps 4-2 Borrower Debt Versus Investor Return .4-3 Interest-rate Swaps 4-3 Currency Swaps 4-5 Converting Variable-rate Assets...
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Thị trường Hoán đổi(Swaps)

Thị trường Hoán đổi(Swaps)
... Quốc Bảo Hoán đổi tiền tệ - định giá • Hai bên giao dịch hoán đổi NP$ NP€ vào thời điểm bắt đầu Hoán đổi giá trị hai khoản tiền tương đương • Khi hoán đổi kết thúc, bên đảo ngược lại hoán đổi ... Rủi ro bên bị vỡ nợ (credit risk) Hoán đổi lãi suất Hoán đổi lãi suất chuỗi toán tiền lãi hai phía Mỗi tập hợp toán dựa lãi suất cố định thả Hoán đổi vanilla hoán đổi lãi suất mà bên thực toán ... trái phiếu lãi suất thả Hoán đổi lãi suất – định giá Trái phiếu lãi suất thả  Trái phiếu có lãi suất thả trái phiếu có coupon thay đổi vào ngày cụ thể theo lãi suất thị trường  Thông thường coupon...
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612 Giải pháp mở rộng hoạt động tín dụng tại Ngân hàng Citibank Việt Nam

612 Giải pháp mở rộng hoạt động tín dụng tại Ngân hàng Citibank Việt Nam
... hot ng tớn dng ti Citibank Vit Nam Chng 2: Thc trng hot ng tớn dng ti ngõn hng Citibank Vit Nam 2.1 Khỏi quỏt v chi nhỏnh Citibank Vit Nam 2.1.1 Khỏi quỏt chung v Citibank Vit Nam Gii thiu chung ... ng tớn dng ti ngõn hng Citibank Vit Nam -2Chuyờn tt nghip Gii phỏp m rng hot ng tớn dng ti Citibank Vit Nam Chng Gii phỏp m rng hot ng tớn dng ti ngõn hng Citibank Vit Nam -3Chuyờn tt nghip ... Citibank Vit Nam Danh mc bng biu Bng C cu thu nhp ca Citigroup phõn theo sn phm v lónh th 30 Bng Kt qu kinh doanh ca Citibank Vit Nam qua cỏc nm 41 Bng Mụ hỡnh t chc ca Citibank Vit Nam...
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Tài liệu COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS pptx

Tài liệu COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS pptx
... FitchSolutions, Counterparty risk valuation adjustment for CDS Introduction We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default ... need a default model for the counterparty, to be correlated with the default model for the underlying CDS 2.1 Contingent CDS A Contingent Credit Default Swap (CCDS) is a CDS that, upon the default ... When we say credit spread volatility” parameters we mean ν1 for the reference credit and ν2 for the counterparty As the focus is mostly on credit spread volatility for the reference credit, we...
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Tài liệu Learning Curve Total Return Swaps: Credit Derivatives and Synthetic Funding Instruments ppt

Tài liệu Learning Curve Total Return Swaps: Credit Derivatives and Synthetic Funding Instruments ppt
... to price credit derivatives and TR swaps Essentially, the pricing of credit derivatives is linked to that of other instruments; however, the main difference between credit derivatives and other ... Bank A is the ‘beneficiary’ ©YieldCurve.com 2004 Page Bank A Total Return payer or "Beneficiary" Bank B Total Return receiver or "Guarantor" Total return (interest and appreciation) Bank B Bank A ... transfer the credit risk from one party to the other It is one of the principal instruments used by banks and other financial instruments to manage their credit risk exposure, and as such is a credit...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... rates and default by means of a stochastic intensity that will be correlated with the short rate 2.1 Pricing and calibrating CDS with deterministic intensity models Consider the CDS payoff (1) and ... of the interest-rate part to interest-rate data and of the intensity part to credit market data Indeed, in the separable case the credit derivatives desk might ask for the α parameters and the ... functions of rτ in the SSRD CIR++ model, we simply have to discount these scenarios from τ to and then average along scenarios Our results, with the same interest-rate and default- intensity dynamics...
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INTEREST RATE SWAPS potx

INTEREST RATE SWAPS potx
... INTEREST RATE SWAPS Definition: Transfer of interest rate streams without transferring underlying debt FIXED FOR FLOATING SWAP Some Definitions Notational Principal: The dollar the interest rates ... Lowering Fixed Rate Costs: Baa corporate borrows at floating rate = T-bill + 0.5% Aaa corporate borrows at floating rate = T-bill + 25% Quality spread for five years maturity = 1.5% Baa corporate borrows ... floating -rate market and promises to pay the Aaa corporation a fixedrate interest, while the Aaa corporation raises funds in a fixed -rate market and promises to pay the Baa corporation a floating-rate...
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Interest Rate Swaps and Economic Exposure potx

Interest Rate Swaps and Economic Exposure potx
... INTEREST RATE SWAPS AND ECONOMIC EXPOSURE I INTRODUCTION As of December 31, 1995, the outstanding notional principal of interest rate and currency swaps ($ equivalent) was ... group of users of interest rate swaps Financial firms (e.g., banks) are comparatively infrequent users of interest rate swaps and they are primarily interest rate swap dealers.2 Wall and Pringle (1989) ... rationale for their use of interest rate swaps since these firms are leading users of interest rate swaps3 1These are aggregate global figures for interest rate swaps for both ISDA and non-ISDA categories...
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The Role of Interest Rate Swaps in Corporate Finance doc

The Role of Interest Rate Swaps in Corporate Finance doc
... explains the basic mechanics of interest rate swaps and examines these rationales in more detail FUNDAMENTALS OF INTEREST RATE SWAPS The most common type of interest rate swap is the fixed/floating ... Fixed/Floating Swap The quoted price of an interest rate swap consists of two different interest rates In the case of a fixed/floating swap, the quoted interest rates involve a fixed and a floating rate The ... trading in interest rate swaps has helped to complete forward markets and to lower the cost to firms of managing their exposure to interest rate risk The Role for Hedging in the Theory of Corporate...
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Understanding Corporate Bond Spreads Using Credit Default Swaps potx

Understanding Corporate Bond Spreads Using Credit Default Swaps potx
... to corporate spreads in regressions, and are therefore not suitable to decompose corporate bonds into liquidity and default components 24 UNDERSTANDING CORPORATE BOND SPREADS USING CREDIT DEFAULT ... sol3/papers.cfm?abstract_id=687619> 30 UNDERSTANDING CORPORATE BOND SPREADS USING CREDIT DEFAULT SWAPS BANK OF CANADA REVIEW AUTUMN 2009 Chen, L., D A Lesmond, and J Wei 2007 Corporate Yield Spreads and Bond Liquidity.” ... their study 26 UNDERSTANDING CORPORATE BOND SPREADS USING CREDIT DEFAULT SWAPS BANK OF CANADA REVIEW AUTUMN 2009 Table 1: Firms’ bond data Rating BBB CC Number of firms Minimum number of bonds Maximum...
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citibank - basics of corporate finance

citibank - basics of corporate finance
... Cost of Capital Introduction . 7-1 Unit Objectives 7-1 Sources of Capital and Their Costs 7-1 Cost of Debt 7-2 Cost of Preferred Stock . 7-3 Cost of Common ... v-1.1 x TABLE OF CONTENTS (This page is intentionally blank) v-1.1 v05/15/94 p01/14/00 Introduction INTRODUCTION: BASICS OF CORPORATE FINANCE COURSE OVERVIEW Basics of Corporate Finance serves ... . 5-7 Net Present Value 5-9 Present Value of Cash Flows 5-9 Net Present Value of Cash Flows 5-1 0 Practice Exercise 5.2 5-1 3 Internal Rate of Return 5-1 5...
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Tin tặc tấn công Citibank, lấy trộm thông tin 200.000 thẻ tín dụng pptx

Tin tặc tấn công Citibank, lấy trộm thông tin 200.000 thẻ tín dụng pptx
... nhiên, Citibank khẳng định tin tặc truy cập vào mã số bảo mật tài khoản, ngày sinh ngày hết hạn thẻ tín dụng Nếu lấy thông tin tin tặc dễ dàng tạo nhiều thẻ tín dụng để trộm tiền từ tài khoản thật ... Tin tặc công hệ thống máy tính Ngân hàng Citibank khu vực Bắc Mỹ, lấy cắp thông tin, số tài khoản địa e-mail 200.000 khách hàng sử dụng thẻ tín dụng ngân hàng này, theo ... nhận tin tặc truy cập xem thông tin cá nhân khoảng 1% khách hàng sử dụng thẻ tín dụng ngân hàng này, không giải thích tin tặc lại xâm nhập vào hệ thống ngân hàng Tuy nhiên, Citibank khẳng định tin...
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Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options phần 2 docx

Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options phần 2 docx
... that the value of a contract has to move by a certain amount before a variation margin call is triggered Only the larger banks and financial institutions are clearing members of an exchange and ... companies that have to make payments or are due to receive cash flows in foreign currencies on future dates A company can agree a forward deal with a bank and lock into a known foreign exchange rate, ... transacted at or around the theoretical fair value If they are not, then traders will quickly rush in to create arbitrage deals, and the actual market rate will move back towards its theoretical...
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