corporate hedging currency derivatives and interest rate derivatives use before and after sfas 133

Research " CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 " ppt

Research " CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 " ppt

Ngày tải lên : 30/03/2014, 01:20
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Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf

Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf

Ngày tải lên : 17/02/2014, 03:20
... commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, ... Conclusions Commercial banks employ different methods, including the use of interest- rate derivatives to manage interest- rate risks. The use of these derivative instruments by banks has increased tremendously ... 2000, Causes of U.S. bank distress during the depression, NBER Working paper #7919. Carter, David A., and Joseph F. Sinkey, Jr., 1998, The use of interest rate derivatives by end- users: The...
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The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc

The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc

Ngày tải lên : 06/03/2014, 02:21
... between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination ... forwards, and swaps as the foreign exchange part of the survey. Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange options, and interest rate options ... 0 100 200 300 400 500 600 700 800 1995 1998 2001 2004 2007 2010 52 91 135 355 607 659 712 Unadjusted Adjusted* Chart 2: Daily U.S. FX and Interest Rate Derivatives Turnover Includes currency swaps, FX options, FRAs, interest rate swaps, and options. In $ billions equivalent. 423 167 110 64 *...
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An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting docx

Ngày tải lên : 06/03/2014, 03:20
... between the floating rate coupon and the fixed rate coupon payments is exchanged. Figure 1: Single -Currency Interest Rate Swap Market participants often employ interest rate derivatives for ... single currency interest rate swap, parties agree to exchange payments periodically based on a fixed interest rate agreed upon at the outset of the transaction and a floating interest rate based ... because they are more tailored and because hedging the risks and the unwinding of positions can be costlier. Exotic product structures are estimated to make up around 2% of the OTC interest rate...
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Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf

Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf

Ngày tải lên : 17/02/2014, 03:20
... nominal interest rate applied to overdrafts is typically the sum of a spread and the one-month policy rate. Current account contracts establish that changes in the policy rates are incorporated ... the spread between the interest rate on time deposits and the repo rates on corresponding maturities. Then we compute an average interbank deposit rate by weighting each rate with the amount ... Banking Relationships and the Fragility of Corporate Borrowers” Journal of Banking and Finance, 22, 1441-1456. Friedman, B. and Kuttner K. (1993), “Economic Activity and the Short-Term 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

Ngày tải lên : 06/03/2014, 04:21
... parameters and the φ(·; α) curve to the interest- rate derivatives desk, and then proceed with finding β and ψ(·; β) from CDS data. This ensures also a consistency of the interest rate model that is used ... the separate and semi-automatic calibration 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 ... interest rates and of credit default swaps (CDS’s). Moreover, the model retains free dynamics parameters that can be used to calibrate option data, such as caps for the interest rate market and...
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Bank income and profits over the business and interest rate cycle pdf

Bank income and profits over the business and interest rate cycle pdf

Ngày tải lên : 06/03/2014, 14:20
... in Demirg ¨ u¸c-Kunt and Huizinga (1999) and Gischer and J ¨ uttner (2003). Interest rate differentials (i.c. gaps between contractual interest rates and money market rates) as ex-ante measures of banking profitability ... Following Sims and Zha (1999), among other things, fractiles are used instead of standard deviations in computing error bands (the two-standard-deviation band is replaced by the 0.025 and 0.975 fractiles ... relatively quickly after the shock, the one earned by granting loans to, above all, firms and households (which are financed by their deposits and savings) rises after an interest rate shock. This...
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BANK LOAN COMMITMENTS AND INTEREST RATE VOLATILITY potx

BANK LOAN COMMITMENTS AND INTEREST RATE VOLATILITY potx

Ngày tải lên : 15/03/2014, 01:20
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Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies ppt

Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies ppt

Ngày tải lên : 15/03/2014, 14:20
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BANK LENDING AND INTEREST RATE CHANGES IN A DYNAMIC MATCHING MODEL ppt

BANK LENDING AND INTEREST RATE CHANGES IN A DYNAMIC MATCHING MODEL ppt

Ngày tải lên : 15/03/2014, 14:20
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WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf

WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf

Ngày tải lên : 22/03/2014, 23:20
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NEWS AND INTEREST RATE EXPECTATIONS: A STUDY OF SIX CENTRAL BANKS pot

NEWS AND INTEREST RATE EXPECTATIONS: A STUDY OF SIX CENTRAL BANKS pot

Ngày tải lên : 22/03/2014, 23:20
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Determinants of lending interest rates and interest rate spreads pptx

Determinants of lending interest rates and interest rate spreads pptx

Ngày tải lên : 22/03/2014, 23:20
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Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc

Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc

Ngày tải lên : 29/03/2014, 13:20
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Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility pot

Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility pot

Ngày tải lên : 29/03/2014, 13:20
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Tài liệu Housing Bubbles and Interest Rates by Christian Hott and Terhi Jokipii doc

Tài liệu Housing Bubbles and Interest Rates by Christian Hott and Terhi Jokipii doc

Ngày tải lên : 17/02/2014, 03:20
... between interest rate deviations and housing bubbles and that deviations of observed rates from Taylor-implied rates Granger-cause house price bubbles. This impact is especially strong when interest ... relationship between interest rate deviations and house price bubbles can be observed both before and after the introduction of the single currency. The impact is, however, slightly stronger after 1999. Table ... Reynard and Barbara Sutter: Liquidity Effects of Quantitative Easing on Long-Term Interest Rates 36 Figure 2: Interest rates. Observed short-term interest rate Taylor-implied interest rate...
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báo cáo hóa học:" Change in condom and other barrier method use during and after an HIV prevention trial in Zimbabwe" potx

báo cáo hóa học:" Change in condom and other barrier method use during and after an HIV prevention trial in Zimbabwe" potx

Ngày tải lên : 20/06/2014, 08:20
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Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure pdf

Ngày tải lên : 29/03/2014, 13:20
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THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx

Ngày tải lên : 15/03/2014, 01:20
... Option-based interest rate derivatives can also be used to put a cap on interest expenses, without foregoing the potential benefit of declining rates, to put a floor under interest rate reve- nues, ... the floor rate and the notional principal. Depending on the variable it first sets, the firm can create an interest rate collar or an interest rate participation agreement. Interest rate collars ... in an interest rate swap in which the LRBA bank pays fixed and receives floating rate, positive cash flows are generated by the particular in- terest rate derivative when the interest rates...
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Interest rate hedging products - Information about our work and findings pot

Interest rate hedging products - Information about our work and findings pot

Ngày tải lên : 15/03/2014, 01:20
... interest rate hedging products (such as structured collars) and (ii) a number of poor sales practices used in selling other interest rate hedging products. We also found that sales rewards and ... FSA update – Interest rate hedging products Page 2 of 5 Background Interest rate hedging products are typically separate to a loan and, if so, are regulated by the FSA. ... update Interest rate hedging products Information about our work and findings Interest rate hedges include a variety of different products sold to customers to help protect them against interest rate risk....
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