8
votes
Blockchain real life applications
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 ...
- 3,669
4
votes
The impact of QE measures on capital
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"...
- 1,211
4
votes
Why repo rate above federal funds rate while appears less credit risk
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 ...
- 2,613
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 ...
- 12.3k
4
votes
Accepted
Exotic Trading Basic Questions - Banking
"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 ...
- 2,571
3
votes
Accepted
Blockchain real life applications
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 ...
- 146
3
votes
The impact of QE measures on capital
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 ...
- 5,061
2
votes
Accepted
Advances in retail modelling
There is a big different between the financial intermediation (that can use a risk-neutral approach to prevent too large misalignment of valuations that would be due to disparities of risk aversions), ...
- 12.1k
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 ...
- 12.3k
1
vote
Why do banks tend to decrease lending rates, when central banks cut rates?
Why do gas stations decrease prices when oil prices drop?
Why do Dell/Hp/etc decrease their PC prices as component prices drop?
etc
etc
etc
- 2,613
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 ...
- 12.3k
1
vote
Why repo rate above federal funds rate while appears less credit risk
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 ...
- 17.1k
1
vote
Accepted
List of European banks by assets and/or deposits
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 ...
- 5,061
1
vote
Accepted
Calculating PD of commercial bank loan
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 ...
- 968
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