Questions tagged [banking]

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Derivative balance sheet data for Eurozone banks

As a follow-up to my recent answer, is there a similar banking regulatory form such as USA’s FR Y-9C or FFIEC 101 at Eurozone level? National data level would be useful too. Data should be reported at ...
2
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0answers
59 views

What are most common Wall Street explanations for why IPOs are underpriced on average? [closed]

It is now well documented that stock prices, on average, rise on the IPO date. This implies that the IPO prices were systematically "set too low" on average. Why is this the case, according ...
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1answer
95 views

Estimating VaR of bond due to changes in the US yield curve

I am attempting estimate the 99% 10-day VaR of an investment grade bond due to changes in the US yield curve. The data provided is the daily prices of the bond over time. In addition I have the Daily ...
-2
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1answer
70 views

Why do banks tend to decrease lending rates, when central banks cut rates? [closed]

I am not clear of why banks could not leave lending rates unchanged following a rate cut from the central bank so to increase their interest rate margin and instead tend to lower their lending rates.
2
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2answers
151 views

The impact of QE measures on capital

ECB/FEB and other central banks engage in various programs of quantitative easing. Of course, there is program-to-program variation in terms of details, the essence, however, is to buy dodgy ...
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1answer
29 views

Consolidated Reports of Condition and Income, naming convention

Why are Banks' Consolidated Reports of Condition and Income also known as "FDIC Call Reports"?
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1answer
63 views

What currencies has LIBOR historically been offered in?

The Wikipedia article on LIBOR says: In 1986, the Libor initially fixed rates for three currencies. These were the US dollar, British pound sterling and the Deutsche Mark. Over time this grew to ...
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0answers
48 views

Use of Macaulay Duration to calculate the Funds Transfer Pricing Cost of an Amortizing Mortgage

I am asked to comment on the Funds Transfer Pricing methodology used by our Treasury to assign a Cost of Funds to a Loan. This is the current methodology: Let us say there is a 2 year loan with an ...
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0answers
35 views

Calculating FTP rate for loans

The FTP rate for loans is calculated by the following formula FTP% I have a data set as shown in Data set and when inserting for instance the base rate, liquidity premium 2y and liquidity premium 6m ...
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0answers
34 views

Funds transfer pricing for loans

I wonder if the $FTP\%$ term for loans in the following formula $$FTP\%=\text{BaseRate} + \alpha \,\text{LP}_{1y}+(1-\alpha) \,\text{LP}_{6m},$$ where $\text{LP}$ is a liquidity premium, is a ...
4
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3answers
337 views

Why repo rate above federal funds rate while appears less credit risk

I think this will be an easy question for practitioners but going through several websites & papers is causing more confusion than anything else. So here goes: The effective federal funds rate is ...
4
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0answers
123 views

Books on banking by Moorad Choudry

What do you think about books on banking written by Moorad Choudhry? Someone recently recommended them to me as a good general introduction to modern banking, for example: An Introduction to Banking:...
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0answers
551 views

Why does change in Sight Deposits reflect Swiss National Bank FX action

I am confused of how the Swiss National Bank's famous FX interventions are reflected in the change in Sight Deposits. Against the backdrop of the ECB meeting, it is said that the SNB has taken ...
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2answers
289 views

List of European banks by assets and/or deposits

Does anyone know where I can find a list of European commercial banks that includes assets and/or deposits? I found this link on ECB's website: https://www.ecb.europa.eu/stats/financial_corporations/...
5
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1answer
792 views

Exotic Trading Basic Questions - Banking

I just joined a support team for an equity exotic trading desk in a bank, I am looking for a high level overview of how exotic trading works in a bank. For my questions let's take a common product: ...
2
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1answer
160 views

Calculating PD of commercial bank loan

I have two main options to calculate PD of a loan in a commercial bank; with and without machine learning. On one hand, there are traditional methods such as Merton or KVM. On the other hand, I could ...
6
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2answers
274 views

Blockchain real life applications

I am looking for real life applications of blockchain technology. Bitcoins are obvious, however, I am looking for something different. For example one of the banks in Poland implemented blockchain for ...
3
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0answers
106 views

Credit scoring: combining application and behavior scoring

The aim in credit scoring is to distinguish good clients from bad clients. This is done at the stage of the application (application scoring - AS) based on demographic and similar data. AS is used to ...