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Questions tagged [banks]

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1answer
45 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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0answers
22 views

How to measure specific risk charge?

IFRS requires banks to compute different risks including market risk based on Basel iii. To do so, the capital requirement is defined as follows: $$max(VaR_{t−1},m_c × VaR_{avg}) + SRC$$ $SRC$ is ...
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0answers
42 views

currency pegging & FX reserves of central banks

Any good references on the math behind currency pegging by central banks as a function of: - the bank's balance sheet - market prices of the 'master' currency...specifically, how the bank traders (...
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0answers
21 views

Exposure at Default (EAD) models with and without the Credit Conversion Factor (CCF)

Exposure at Default (EAD) models with and without the Credit Conversion Factor (CCF). What are the pros and the cons of each, and which one should use a small commercial bank?
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0answers
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Estimate the off balance sheet exposures of a banking book, based on limited data

I am doing an analysis on Off Balance sheet items on a bank. Only data I have is authorized amount and outstanding balance for all the loans the bank currently has. Can I simply take the difference ...
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3answers
73 views

Calculation for WACC for commercial banks

Commerical banks have a large weightage of debt from deposits, which has a very low interest rate. This caused our calculated WACC to be very low. Is this correct? https://docs.google.com/...
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0answers
83 views

Is SABR being used in practice for Equity options

Just to be clear: By "in practice" I mean what the banks and other financial companies do. Do financial companies use SABR for pricing equity options? Consider a stock with price $t$ being: $S_t$. ...
1
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1answer
589 views

Delta One Trading business [closed]

I don't really know what exactly Delta One desks are doing. So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
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1answer
116 views

EURIBOR zero rates vs forward rates to project future income on a bank's loans

I work at an international bank within the M&A FIG team, and have seen that my associate uses the future daily EURIBOR 3M,6M,12M to estimate what the future interest income on a banks loans will ...
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2answers
60 views

Why does the UK government sell RBS shares?

What economic rationality is behind this transaction: They purchase at c.500p in fall 2008 and spring 2009. There has been no dividend. The likelihood for dividend appears to be when economy improves, ...
1
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1answer
87 views

Banking. What's the difference between provision and capital adequacy regulations? (purpose-wise)

Is such summary reasonable? Provisions = predicted losses should reduce profit already now. (giving stimulus for a bank to make necessary responses already now) Capital adequacy = bank must use ...
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1answer
50 views

Withdrawing monthly from a bank for 40 years [closed]

Consider you have $\$104107.4099$ in the bank with a $.33\%$ monthly effective interest rate. You plan to withdraw a fixed amount X every month for 40 years, such that you make 480 withdrawals in ...
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2answers
1k views

How do firms make money from “flow trading”?

Apologies if this is a very simple question, but how exactly do firms make money from "flow trading"? Is it simply profiting from "selling" direct market access?
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3answers
126 views

Profits of US Banks

Are there any publicly available data on [aggregate] profits for domestic US banks, especially quarterly data? Most studies that I know use the "Financial Statements of Banks" from the OECD but these ...
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4answers
115 views

Do banks have a target balance sheet?

I was wondering if banks have a certain target value when it comes to their balance sheet. I'm not speaking about the target leverage ratio or something like that. It's more like: "In the following ...
-1
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1answer
148 views

Help to understand the XRBL format used in Uniform Bank Performance Reports (UBPR) from the FFIEC

I'm working on a project to extract the reporting data of federal financial institutions from the FFIEC site (using Python programming). The data is coming from the Uniform Bank Performance Report (...
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1answer
70 views

What is the risk-free asset?

We have $dB_t = rB_tdt$. We are told that this corresponds to a "bank"..... how? When I insert money into a bank, how does this correspond to buying an asset for the price $B_t$? It would make more ...
0
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1answer
114 views

Why can't/doesn't the Fed adjust the federal funds interest rate continuously?

Maybe the question I'm asking doesn't make sense-- but this is something I've wondered about since I learned about the Fed in high school. The media typically talks about Fed interest rate changes as ...
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1answer
51 views

Standars for assigning maturities and hedging account balances in commercial banks

I was wondering wich is the standard for pricing clients account balances in commercial banks. Is there any book that adress alm problems?
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2answers
483 views

Why somebody buy the defaulted loans?

Why somebody buy the defaulted loans from the banks, if the debtors can not pay back their debt? If I bought these loans I will cause losses myself, because nobody will pay me (or just a lower price ...
5
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4answers
689 views

Could we have prevented the World Economic Crisis in 2008?

There is an expression - "Too big to fall." - which means that if a bank or a financial institution manages a sufficient part of the financial assets than the state can't afford that this bank or ...
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2answers
151 views

Unrecovered debt

When reading an article about banking industry I came up with two questions. I'd be very pleased If somebody could clarify them: How concepts of unrecovered debt and NPL are related? When banks ...
6
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1answer
288 views

Dec 16: FED rate hike?

Various news articles state that next Wednesday a rate hike by the FED was expected. Yet when I look at fed-rate futures, nobody seems to expect that: http://www.cmegroup.com/trading/interest-rates/...
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1answer
54 views

Methods or models to predict activity of clients of a bank

I'm a Physicist but I'd like to know if there are some methods or models to predict the activity of the clients of a bank. I heard that banks are interested in this sort of analysis so I got curious ...
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0answers
68 views

Want to understand the links and relationship between all the risk metrics?

For Example : if Risk weighted asset (RWA) increased or decreased this month, which other risk metrics could have influenced RWA to increase or decrease. Also in different situations like, upward ...
5
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1answer
219 views

CNY Devaluation: Why EUR up, USD down?

The second unexpected devaluation of the Chinese currency CNY caused some turbulent market movements in currencies today. I was surprised that the EUR went to a 1-week high against the USD up by ...
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1answer
74 views

Is it likely that banks would become clients of algotrading companies? [closed]

Algotrading is growing, while banks don't currently have the HR to continually develop sophisticated algorithms on their own. Is it likely that banks (and governments) would become clients of ...
1
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1answer
282 views

Best sources for worldwide balance sheet data?

I’m interested in databases with quarterly balance sheet data of the financial sector. I’m aware of the following datasets: -Compustat -Compustat Global -Bankscope Can someone point out other ...
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0answers
86 views

Historical list of Primary Dealers in Europe

I would be interested in a list of all the banks and financial institutions that have been Primary Dealers in the European Union from the 1980s until today. For a current list you can check this pdf ...
0
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1answer
60 views

Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
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0answers
64 views

Questions related to the banking crisis during the European sovereign debt crisis

I am studying the European Sovereign Debt crisis and I have the following questions which I am struggling to find examples for: 1) I have heard that during the sovereign debt crisis, European ...
4
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3answers
132 views

How does US banks ensure that other country's banks aren't counterfeiting USD?

I have had this question for a long time. For example, if I wire 50M USD from China to the US, does the Chinese bank physically deliver 50M USD cash to the US bank? or is it just changing a number in ...
8
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3answers
5k views

Why banks borrow from each other

I was reading on the topic, and would like to be sure that my understanding is correct. For the benchmark I would consider American banking system as I've mostly used sources such as FRS and Federal ...
1
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1answer
1k views

What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers?

For a case study I have to work on for a university course, about a real-estate-development project, I need to simulate the financing with different proportions of equity (40%), senior loan (35%), ...
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2answers
1k views

What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?

I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' ...
13
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1answer
1k views

Where can I find data on the interbank lending market?

Where can I find disaggregated interbank lending data (i.e. bank A lends to bank B x money at y rate)? I could only find data on interest rates. I would accept LIBOR market data as well as any ...
14
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2answers
743 views

Issues when considering a quantitative trading/finance firm

I have an upcoming quantitative trading interview (prop desk at a large bank), and I would like to have some good questions to ask about the group. However, I am changing fields from academia and I do ...
13
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1answer
341 views

Could banks move to continuous (rather than overnight) funding?

The dominant frequencies for Money Market and FX instruments were 6m and 3m for a long time, and banks slowly moved to commercial trades at those frequencies but funding overnight. If this is a step ...
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1answer
512 views

How does currency valuation depend on the cash reserve ratio for a country?

Currency valuation (with respect to other currencies) is an important parameter in finance, but how is it related to the cash reserve ratio?
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4answers
22k views

What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?

What does a CVA (Credit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"?