Questions tagged [banks]

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Banks' use of written interest rate options

I study US commercial banks data. I look at the notional amounts of their different OTC interest rate derivatives for the recent years. When I look at non-dealer banks (i.e. end-users), I find that ...
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0answers
46 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
92 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 ...
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33 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
72 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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13 views

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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0answers
327 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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66 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 ...
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0answers
8 views

Bank deposit insurance beyond FSCS limit in UK

For companies, the Financial Services Compensation Scheme (FSCS) provided by the Bank of England only covers up to £85,000. Is there an insurance or financial product that provides insurance above ...
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29 views

Models for derivative portfolio composition

I focus on interest rate derivatives. I am looking for theoretical references which would model how financial institutions optimally choose among the different types of existing instruments (options, ...
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1answer
209 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 (...