Questions tagged [banking]

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90 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
28 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
42 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
40 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
32 views

Book value and FTP rate

The FTP rate for loans is given by: $$FTP\%=\text{BaseRate} + \alpha \,\text{LiquidityPremium}_{2y}+(1-\alpha) \,\text{LiquidityPremium}_{6m}$$ In what way is the book value of an asset related to ...
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0answers
29 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
32 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 ...
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0answers
17 views

How to calculate the revenue yield?

Origination fee is charged as 3.0 % of average funded loan size. How to calculate the revenue yield in the table below?
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0answers
33 views

How do CCAR models come together to create a prediction of capital adequacy?

I have a question about the Comprehensive Capital Analysis and Review (CCAR) process for US banks. I understand that the PPNR (Pre-Provision Net Revenue) Models and Loss models can create a predicted ...
3
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3answers
217 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 ...
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0answers
103 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
423 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
155 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/...
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1answer
416 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: ...
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1answer
144 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 ...
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2answers
254 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 ...
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0answers
90 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 ...