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4 votes

Consolidated Reports of Condition and Income, naming convention

I posed the same question some years ago to a bank examiner (who had been a bank examiner for over 30 years) and his explanation was that every quarter the banks used to call the FDIC on the telephone …
Dimitri Vulis's user avatar
1 vote

What currencies has LIBOR historically been offered in?

Perhaps you can cite this paper: As of September 2013.. . Five less frequently traded currencies have been discontinued (NZD, DKK, SEK, AUD, CAD).. The total number of currency-maturity fixing pairs …
Dimitri Vulis's user avatar
0 votes

List of European banks by assets and/or deposits

Lots of stats is published by the European Banking Authority, (EBA) for example https://eba.europa.eu/-/the-eba-updates-data-used-for-the-identification-of-global-systemically-important-institutions-g-sii …
Dimitri Vulis's user avatar
2 votes

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

Something like the following is likely to be acceptable to whoever looks at your VaR methodology. Convert your historical (clean) price to yields of your bond (remember to use the right historical set …
Dimitri Vulis's user avatar