Basel Committee on Banking Supervision Working Paper No 15 Studies on credit risk concentration docx
Basel Committee on Banking Supervision Working Paper No. 15 Studies on credit risk concentration docx
... providers of credit protection. Studies on credit risk concentration 11 Basel Committee on Banking Supervision Working Paper No. 15 Studies on credit risk concentration An overview ... risk assessment; (ii) the definition of a “benchmark” for concentration risk correction; and (iii) data-related issues. 2 Studies on credit risk concentration Studies on credit risk concentration ... in the Basel II Framework as the conceptual basis of the IRB risk- weight functions for credit risk. 6 Studies on credit risk concentration 2005 to initiate discussion with practitioners...
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WORKING PAPER NO. 08-5 CENTRAL BANK INSTITUTIONAL STRUCTURE AND EFFECTIVE CENTRAL BANKING: CROSS-COUNTRY EMPIRICAL EVIDENCE pot
... transition economies experienced a more volatile economic environment during the second half of the 1990s, the time period of study, than did other economies. 14In terms of organizational ... transitional economies, developing economies, and developed countries. One might expect that there would be more similarity between the transition and developing countries in terms of economic ... particular, not surprisingly, transition economies have significantly higher levels and variability of inflation than developing or developed countries. The average inflation rate for transition economies...
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WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh potx
... The paper should be considered preliminary in nature and may require substantial revision. Accordingly, a Working Paper should not be quoted nor the data referred to without the written consent ... 34 WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh The Working Paper is intended as a ... author. All rights reserved. © 2004 Wolf Wagner & Ian Marsh Comments and suggestions would be welcomed by the authors. e-mail: Wolf Wagner: w.wagner@cerf.cam.ac.uk Ian Marsh:...
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Working Paper No. 400 Liquidity-saving mechanisms and bank behaviour pot
... Leinonen, H (2005) (ed), ‘Liquidity, risks and speed in payment and settlement systems – a simulation approach’, Bank of Finland Studies, E: 31. Leinonen, H (2007) (ed), ‘Simulation studies ... Bank’s working paper series can be found atwww.bankofengland.co.uk/publications/workingpapers/index.htmPublications Group, Bank of England, Threadneedle Street, London, EC2R 8AH Telephone +44 ... decreasing delay costs are reduced. The relationship between τ and RTGS delay costs is generally non-monotonic: when liquidity is scarce, it is not convenient to route too many payments to RTGS:...
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WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY pptx
... monetary policy”,Economics Department Working Papers No. 188, February, OECD.Kieler M. and T. Saarenheimo (1998): “Differences in monetary policy transmission? A case notclosed”, Economic papers ... the Monetary Policy Transmission”, C. B. 394, Basel, March.Boone L., C. Giorno and P. Richardson (1998): “Stock market fluctuation and consumptionbehaviour: Some recent evidence”, Economics ... INTEREST RATE CHANNELOF ECB MONETARY POLICYBY BENOÎT MOJONNovember 2000EUROPEAN CENTRAL BANK WORKING PAPER SERIESECB Working Paper No 40 l November 200018The composition of household assets...
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WORKING PAPER NO. 72 BANK CONCENTRATION AND RETAIL INTEREST RATES pptx
... of concentration and the relatively short time series dimension of our data did not ECB • Working Paper No 72 • July 200125permit us to conduct tests of the effect of concentration on monetary ... in the levels of concentration among products suggest considerable specialisation in banking markets. ECB • Working Paper No 72 • July 200118 The main question that this paper attempts to ... econometric evidence on the effect of concentration on contractual interest margins; Section VI examines the robustness of the results and analyses some extensions. Finally, Section VII concludes....
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WORKING PAPER NO. 136 RETAIL BANK INTEREST RATE PASS-THROUGH: NEW EVIDENCE AT THE EURO AREA LEVEL docx
... estimations.27ECB • Working Paper No 136 • April 2002 Chart B.1b Impulse response of bank lending rate to a one standard-deviation innovation to market interest rate (dotted lines denote 95% confidence ... estimations. ECB • Working Paper No 136 • April 200226Chart B.1a Impulse response of bank deposit rate to a one standard-deviation innovation to market interest rate (dotted lines denote ... and credit rationing: an application of unit root testing and error correction modelling, Applied Economics, 31, 267-277. Wong, K.P., 1997, On the determinants of bank interest margins under credit...
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WORKING PAPER NO. 192 IS THE EUROPEAN CENTRAL BANK (AND THE UNITED STATES FEDERAL RESERVE) PREDICTABLE? pptx
... information at t-j (for j=1, 2, and 3 months), the actual realisation of the one-month rate uses information up to t. Results are available upon request. ECB • Working Paper No 192 • November 2002 15 ... the one-month rate (EONIA, the one-week and the one-month rate). PClong uses the two and three-month EONIA swap rate and the three-month EURIBOR future. Finally, PCnoe is PCall without the EONIA ... introduction of inflation targeting in the Bank of Englandimproved the predictability of its monetary policy decisions.ECB • Working Paper No 192 • November 20029predictability, our contribution...
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Working Paper No. 446 The business cycle implications of banks’ maturity transformation potx
... must8Note that their second assumption generates heterogeneity in the banking sector and there does not exist a representative bank. Working Paper No. 446 March 2012 18 Working Paper No. 446The ... corresponding equation based on real contracts in (20) is the correction for inflation.Hence, a reduction in inflation increases the real value of banks’ net worth from the previous Working Paper No. ... distinction between nominal and realcontracts is especially interesting in our set up, because long-term inflation expectations herehave a larger impact on firms’ decisions compared to one-period nominal...
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NATIONAL BANK OF POLAND WORKING PAPER No . 72: Central bank’s macroeconomic projections and learning potx
... model WORKING PAPER No. 72132where xtdenotes the output gap, πtis inflation and itthe short-term nominalinterest rate at time t. The operator Etdenotes rational expectations conditionalto ... Publication of a longer pathOne interesting extension considers the case where the central bank announces alonger path. The following proposition states that the longer the horizon T of theannounced ... 500.511.522.533.544.55πγxγ•5.0=xγ5.1=πγE-unstable regions Root-t convergence E-unstable - NO announcement + E-unstable - interest path announcement Root-T convergence - interest path announcement + Root-T convergence - NO announcement...
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