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8

The general concept from bitcoin which seems to be in use elsewhere is that of a Distributed Ledger. This is the idea that ownership can be assigned, transferred and tracked entirely digitally. So one use case is the the Bank of England running a distributed ledger for a kind of bond equivalent, which institutions could use for payment or collateral, but ...


4

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 and read out the numbers as soon as they were available (followed by a signed snail mail). Now the files are sent electonically to the Federal Financial ...


4

"pricing" am autocallables is simply working out what it's worth. This is done by having some model (Google local vol / stochastic local vol) which is calibrated to the market (ie listed vanilla options, broker quotes for less liquid tenors, and some light exotics (ie American barriers, cliquetes, etc.)), and then simulating the underlying many times, ...


4

There are at least three different ways to account for the impact of QE on banks (see The Effects of QE on Bank Lending Behavior) and the one that you cite is known as the "liquidity channel" of QE. As you say, and as per the comment by fesman to your question, taken in isolation, the substitution of risky assets such as MBS for excess reserves ...


3

I would say "no". With no quibbles about about the basic premise... Call it "QE", "SMP" (securities' market purchase) or any acronym for any variation thereof, the description of the situation is far from contested here. One can easily, in my view, just look at any central bank's balance sheet to get a feel for the quantum of &...


3

The fundamental problem that blockchains allow to solve is the following: There are several parties who do not trust each other. They are interested to record the existence of certain data at certain points in time. If one party is rightfully interested to record some data, no other party can prevent it to do so. All parties agree on a common past: There ...


2

In general, the Fed Funds rate is below the repo rate. That is because of a few things: With the introduction of interest on excess overnight reserves (IEOR) banks can park their money at the Fed and get paid for them. They have less of a need to move their money. This means that banks with idle reserves no longer need to go to the Fed Funds market to ...


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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 has been reduced from 150 to 35.. see also "Exhibit A" on page 2. The 7 pre-EUR currencies that had LIBOR published were Deutsche mark (DEM), ...


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Overnight repo rates have indeed tended to be slightly higher than Fed funds rates in the last few months. When this difference is small (say 5-10bp) I would say that most banks that have access to both markets would regard this as too small to exploit (not worth deploying scarce balance sheet for that small a return). However there have been some ...


1

The ECB can get you Eurosystem-wide aggregates, but remember that these are just reported by the ECB by the national central banks, who actually regulate the banks. The rules and reporting standards are Europe-wide; but this is nationally operated. And the precise figures for every individual bank are commercially-sensitive data. I'm not sure they are a ...


1

Merton model has been highly criticized in academic literature for its accuracy, though it provides good ranking of credit risk, it fails to quantify it. I'd say use machine learning or better yet deep learning. I used a recurrent neural network with time series inputs like amount due and changing monthly income among many more. It provided a good estimate ...


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