International Convergence of Capital Measurement and Capital Standards PDF Download

Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294

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Author: K. C. Chan
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 18

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Author: Clark Leavitt
Publisher:
ISBN:
Category : Accounting fraud
Languages : en
Pages : 418

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Author: Clifford A. Ball
Publisher:
ISBN:
Category :
Languages : en
Pages : 56

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Author: Pedro Gurrola-Perez
Publisher:
ISBN:
Category :
Languages : en
Pages : 28

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The maturity effect states that the volatility of futures prices should increase as the contract approaches expiration. Numerous studies have investigated this effect for different asset classes. However, the presence of a maturity effect in short term interest rate (STIR) futures has usually only been studied considering these within a wider set of financial futures, without further consideration of their special features. Our study looks at the presence of maturity effects in STIR futures by analyzing the term structure of the volatility of the most worldwide traded contracts, taking into consideration their specific characteristics. We provide empirical evidence on the positive relation between volatility and time to maturity and show how these results relate to models of the term structure of interest rates.

Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171

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Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Author: Mr.Vadim Khramov
Publisher: International Monetary Fund
ISBN: 1475591225
Category : Business & Economics
Languages : en
Pages : 27

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This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.

Author: V. Vance Roley
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 38

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The response of short-term interest rates to weekly money announcements since the Federal Reserve's change in operating procedures on October 6, 1979, is examined in this paper. The results indicate that the response increased significantly since October 1979, and that it varies nonlinearly according to the relation of money growth to the Federal Reserve!s long-run targets. The results also suggest that the increase in the response and the rise in the volatility of unanticipated money have contributed about equally to the large rise in interest rate volatility during this period

Author: Nikolaos Panigirtzoglou
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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It is important for monetary policy makers to know how closely money market rates follow the policy rates they set. This paper looks at the volatility and persistence of divergences between short-term market interest rates away from policy rates. This may also offer insights into the effectiveness of various approaches that central banks employ to smooth interest rate volatility, such as requiring minimum reserves. Using data for Germany, Italy and the United Kingdom, we find that in all three countries there are significant temporary divergences, although the average divergence is close to zero.

Author: Nikolaos Panigirtzoglou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46

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