Questions tagged [banking]
The banking tag has no usage guidance.
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Wholesale customer subject to early redemption/ prepayment risk pricing
According to the BCBS framework, embedded behavioral options within wholesale customer agreements that are separated from the bank's assets or liabilities are subject to a comprehensive revaluation ...
CommunityBot
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Pricing of securitised (e.g. CLO) products
I am looking for any appropriate textbooks/references for the pricing of securitisations such as CLOs.
I am looking at a pool of underlying corporate loans (some bonds, some ammortising loans, ...
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Relationship between tenor and portfolio performance
I'm analysing the connection between the tenor of secured loan contracts and loan performance, represented by 30DPD@3MOB and 90DPD@12MOB (dummy variables).
I'm using logistic regression, which ...
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How to calculate Term Deposit Redemption Rate (TDDR)?
How would you estimate Term Deposit Redemption Rate (TDRR) in the context of regulatory banking (IRRBB and ALM)?
Supose I have a database with net balance of term deposits (1), early redemptions (2) ...
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Climate Models in Banking - what modeling are banks currently doing?
I'm mostly interested in knowing what banks are doing in Ireland and other Western European countries.
I know, from Google searches, that banks are currently doing climate risk stress-testing, but I'm ...
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Advances in retail modelling
The risk-neutral modelling framework leads to very advanced and mathematically rich approach to contingent claims modelling. However, in my experience, retail modelling in Banks is done using generic ...
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Why are/were Euribor rates consistently lower than ECB deposit facility rates since 2020?
Why are unsecured term deposits in EUR yielding lower than a simple overnight deposit at the ECB ? Isn't it supposed to be the opposite ?
The 3 month Euribor just broke -0,50% a few days ago, why was ...
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Core deposits forecasting in stress testing
I’m designing a stress test at a commercial bank. What are the advantages/disadvantages of forecasting core NMD deposits vs. total deposit balances?
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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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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 ...
- 12.6k
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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.
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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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Consolidated Reports of Condition and Income, naming convention
Why are Banks' Consolidated Reports of Condition and Income also known as "FDIC Call Reports"?
- 12.6k
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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 ...
- 12.6k
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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 ...
- 1,404
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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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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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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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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 ...
- 9,402
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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/...
- 12.6k
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1
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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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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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343
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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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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 ...
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