The Interest Rate Risk of Mortgage Loan Portfolio of Banks

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "The Interest Rate Risk of Mortgage Loan Portfolio of Banks"

Transcription

1 The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions for Supervisors Hosed by he Inernaional Moneary Fund Washingon, DC May 2-3, 26 The views expressed in his paper are hose of he auhor(s) only, and he presence of hem, or of links o hem, on he IMF websie does no imply ha he IMF, is Execuive Board, or is managemen endorses or shares he views expressed in he paper.

2 The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Marke Research Division Hong Kong Moneary Auhoriy May 26

3 Conen Marke and Ineres Rae Srucures Ineres Rae Risk Sress-esing Framework and Model Scenario Analysis 3

4 Morgage Marke in Hong Kong Primarily adjusable rae morgages, wih pricing mainly referenced o prime rae (P) The cos of fund is deermined by a mix of ineres raes Dominaed by major reail banks - no only by marke shares - also by price seing 4

5 Ineres Rae Srucure of Hong Kong Under he Linked Exchange Rae sysem, ineres raes in Hong Kong end o rack closely heir US counerpars Major local ineres raes are: - Prime rae (P, his is also named as he bes lending rae) - Savings deposi rae (SR) - Inerbank raes (HIBORs) - Time deposi raes (TDRs) - Ohers (such as ineres raes on negoiable cerificaes of deposi and deb insrumens) 5

6 Prime rae Se by major reail banks and followed by oher banks normally adjuss when here is a change in he US Federal funds arge rae (FFTR), or when pressures from changes in he cos of funds are buil up o a cerain level % p.a monh LIBOR Average P 4 FFTR 2 Jan-97 Jan-98 Jan-99 Jan- Jan-1 Jan-2 Jan-3 Jan-4 Jan-5 Jan-6 6

7 % p.a. 12 Savings deposi rae Normally adjuss in andem wih P Tradiional pracice, no required by regulaion Average P 4 2 Average SR Jan-97 Jan-98 Jan-99 Jan- Jan-1 Jan-2 Jan-3 Jan-4 Jan-5 Jan-6 7

8 Inerbank raes Normally rack closely US ineres raes, bu may deviae from he US raes wih a risk premium due o liquidiy condiions and oher facors % p.a monh HIBOR 3-monh LIBOR Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-1 Jan-3 Jan-5 8

9 Risk premium HIBOR minus LIBOR Shor-erm deviaions in ineres raes of he Hong Kong dollar over he US dollar. The mean level over he pas 17 years is close o zero Bps Risk Premium % confidence band Hisorical mean -3 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-1 Jan-3 Jan-5 9

10 Reasons for he narrowing of spread Balance shee posiions of banks Fixed-rae asses Asses Variable-rae asses (mosly HIBOR-based lending) P-based asses (largely priced wih reference o P) Non-ineres bearing asses (such as equipmen and buildings) Fixed-rae liabiliies Liabiliies Variable-rae liabiliies (mosly HIBOR-based borrowings) P-based liabiliies (largely savings deposis, he ineres raes of which move in andem wih he P) Non-ineres bearing liabiliies (mainly demand deposis and capial) 1

11 % p.a P + 1% Average P 4 2 Weighed average morgage rae P - 3% Jan-97 Jan-98 Jan-99 Jan- Jan-1 Jan-2 Jan-3 Jan-4 Jan-5 11

12 This was made possible by he exraordinary low funding cos wih he HIBOR being a an usually deep discoun o LIBOR of 2 bps. % p.a monh HIBOR 1 3-monh LIBOR bps 2 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-1 Jan-3 Jan-5 12

13 Sress-esing framework and model An error correcion model is esablished o examine how P and oher ineres raes may move in response o changes in FFTR (and LIBOR) and risk premium. Wih he esimaion resuls, we could sress es and assess he poenial impac on ineres margin of banks exising morgage porfolio under an ineres rae shock of a possible sharp reversal of he risk premium. 13

14 Sress-esing framework and model Model specificaion: P = α DS1 + e (1) + α1r 1 + X + α 2 where X is Observaions wih X φ1 FFTR = φ 3 FFTR wih φ FFTR 2 + φ FFTR 4 + φ + φ M 5 l= M 7 l= prem prem + l + l + φ + φ M 6 l= M 8 l= prem prem l l when P - based L/A raio 1 Observaions wih P - based L/A raio< 1 (2) R P β1 = FFTR (3) 14

15 Sress-esing framework and model The error correcion model sudies he siuaions (oal 4 siuaions) : FFTR/Risk Premium are increasing or decreasing P-based L/A raio is greaer han or less han 1 15

16 Sress-esing framework and model Esimaion Resuls Dependen Variable : P Jan 95-Jan 5 Seleced Variable Coefficien Shor run (1) A R * L/A raio 1 + prem.12 ** prem.54 ** + FFTR.16 * FFTR.74 *** Long run (2) FFTR.89 *** Adj. R-squared.69 Q(6) Q(12) DW

17 Scenario analysis The scenario ha he risk premium increases by 2 bps (back o is hisorical mean level), while US ineres raes remain unchanged, is examined. The effecs in hree monhs ime are as below: Risk Premium Reversal of 2 bps (back o he mean level) Changes (bps) P +24 HIBOR +2 Ineres Margin (P HIBOR)

18 Scenario analysis The impacs on ne ineres margin of HIBOR-based morgage loans priced in January 25 are simulaed. Risk Premium Reversal of 2 bps (back o he mean level) Morgage Pricing 2 Funding Cos -65 Curren Gross Morgage Margin 135 Operaing Cos -3 Credi Cos -1 Curren Ne Morgage Margin 95 Esimaed Reducion of Morgage Margin -176 Simulaed Ne Morgage Margin Afer Impac

Equities: Positions and Portfolio Returns

Equities: Positions and Portfolio Returns Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi

More information

Present Value Methodology

Present Value Methodology Presen Value Mehodology Econ 422 Invesmen, Capial & Finance Universiy of Washingon Eric Zivo Las updaed: April 11, 2010 Presen Value Concep Wealh in Fisher Model: W = Y 0 + Y 1 /(1+r) The consumer/producer

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

MITEL NETWORKS CORPORATION CONSOLIDATED BALANCE SHEETS (in millions of US dollars) (unaudited) December 31, December 31, 2015 2014

MITEL NETWORKS CORPORATION CONSOLIDATED BALANCE SHEETS (in millions of US dollars) (unaudited) December 31, December 31, 2015 2014 CONSOLIDATED BALANCE SHEETS,, 5 ASSETS Curren asses: Cash and cash equivalens.. Accouns receivable..5 Sales-ype lease receivables.. Invenories.. Oher curren asses 5. 5. 5. 5. curren porion of sales-ype

More information

Internal and External Factors for Credit Growth in Macao

Internal and External Factors for Credit Growth in Macao Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They

More information

Developing Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion

Developing Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion Developing Equiy Release Markes: Risk Analysis for Reverse Morgage and Home Reversion Daniel Alai, Hua Chen, Daniel Cho, Kaja Hanewald, Michael Sherris Developing he Equiy Release Markes 8 h Inernaional

More information

ABSTRACT KEYWORDS. Term structure, duration, uncertain cash flow, variable rates of return JEL codes: C33, E43 1. INTRODUCTION

ABSTRACT KEYWORDS. Term structure, duration, uncertain cash flow, variable rates of return JEL codes: C33, E43 1. INTRODUCTION THE VALUATION AND HEDGING OF VARIABLE RATE SAVINGS ACCOUNTS BY FRANK DE JONG 1 AND JACCO WIELHOUWER ABSTRACT Variable rae savings accouns have wo main feaures. The ineres rae paid on he accoun is variable

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

Collateral Posting and Choice of Collateral Currency

Collateral Posting and Choice of Collateral Currency Collaeral Posing and Choice of Collaeral Currency -Implicaions for derivaive pricing and risk managemen- Masaaki Fujii, Yasufumi Shimada, Akihiko Takahashi KIER-TMU Inernaional Workshop on Financial Engineering

More information

Global Financial Crisis, Competition and Loan Pricing in Australia. Ming-Hua Liu a, Dimitris Margaritis b* Zhuo Qiao c. Abstract

Global Financial Crisis, Competition and Loan Pricing in Australia. Ming-Hua Liu a, Dimitris Margaritis b* Zhuo Qiao c. Abstract Global Financial Crisis, Compeiion and Loan Pricing in Ausralia By Ming-Hua Liu a, Dimiris Margariis b* Zhuo Qiao c Absrac In his sudy, we examine he impac of he global financial crisis on he pricing of

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

Risk Modelling of Collateralised Lending

Risk Modelling of Collateralised Lending Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies

More information

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance

Fifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance Fifh Quaniaive Impac Sudy of Solvency II (QIS 5) Naional guidance on valuaion of echnical provisions for German SLT healh insurance Conens 1 Inroducion... 2 2 Calculaion of bes-esimae provisions... 3 2.1

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

Diagnostic Examination

Diagnostic Examination Diagnosic Examinaion TOPIC XV: ENGINEERING ECONOMICS TIME LIMIT: 45 MINUTES 1. Approximaely how many years will i ake o double an invesmen a a 6% effecive annual rae? (A) 10 yr (B) 12 yr (C) 15 yr (D)

More information

Chapter 9 Bond Prices and Yield

Chapter 9 Bond Prices and Yield Chaper 9 Bond Prices and Yield Deb Classes: Paymen ype A securiy obligaing issuer o pay ineress and principal o he holder on specified daes, Coupon rae or ineres rae, e.g. 4%, 5 3/4%, ec. Face, par value

More information

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Finance and Economics Discussion Series Divisions of Research & Saisics and Moneary Affairs Federal Reserve Board, Washingon, D.C. Volailiy, Money Marke Raes, and he Transmission of Moneary Policy Seh

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

What is a swap? A swap is a contract between two counter-parties who agree to exchange a stream of payments over an agreed period of several years.

What is a swap? A swap is a contract between two counter-parties who agree to exchange a stream of payments over an agreed period of several years. Currency swaps Wha is a swap? A swap is a conrac beween wo couner-paries who agree o exchange a sream of paymens over an agreed period of several years. Types of swap equiy swaps (or equiy-index-linked

More information

Forecasting Sales: A Model and Some Evidence from the Retail Industry. Russell Lundholm Sarah McVay Taylor Randall

Forecasting Sales: A Model and Some Evidence from the Retail Industry. Russell Lundholm Sarah McVay Taylor Randall Forecasing Sales: A odel and Some Evidence from he eail Indusry ussell Lundholm Sarah cvay aylor andall Why forecas financial saemens? Seems obvious, bu wo common criicisms: Who cares, can we can look

More information

1. Fund types and population covered

1. Fund types and population covered Performance and financial overview of invesmen funds - France 1 March 016 The Banque de France draws up he following informaion for invesmen funds: 1 monhly saisics on fund ousandings and flows, and on

More information

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans Banking Sysem, Real Esae Markes, and Nonperforming Loans 43 INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62 Banking Sysem, Real Esae Markes, and Nonperforming Loans Wen-Chieh Wu Deparmen

More information

LEASING VERSUSBUYING

LEASING VERSUSBUYING LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss

More information

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

Loan-to-value ratio as a macroprudential tool Hong Kong SAR s experience and cross-country evidence

Loan-to-value ratio as a macroprudential tool Hong Kong SAR s experience and cross-country evidence Loan-o-value raio as a macroprudenial ool Hong Kong SAR s experience and cross-counry evidence Hong Kong Moneary Auhoriy I. Inroducion The 2008 09 global financial crisis has demonsraed ha moneary policy

More information

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange)

The Effect of Working Capital Management on Reducing the Stock Price Crash Risk(Case Study: Companies Listed in Tehran Stock Exchange) Inernaional Research Journal of Applied and Basic Sciences 2013 Available online a www.irjabs.com ISSN 2251-838X / Vol, 6 (9): 1222-1228 Science Explorer Publicaions The Effec of Working Capial Managemen

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

INTEREST RATE PASS-THROUGH IN COLOMBIA: A MICRO-BANKING PERSPECTIVE* Rocío Betancourt Hernando Vargas Norberto Rodríguez**

INTEREST RATE PASS-THROUGH IN COLOMBIA: A MICRO-BANKING PERSPECTIVE* Rocío Betancourt Hernando Vargas Norberto Rodríguez** INTEREST RATE PASS-THROUGH IN COOMBIA: A MICRO-BANKING PERSPECTIVE* Rocío Beancour Hernando Vargas Norbero Rodríguez** Bogoá, Sepember 2006 *The opinions expressed in his paper are hose of he auhors and

More information

Chapter Four: Methodology

Chapter Four: Methodology Chaper Four: Mehodology 1 Assessmen of isk Managemen Sraegy Comparing Is Cos of isks 1.1 Inroducion If we wan o choose a appropriae risk managemen sraegy, no only we should idenify he influence ha risks

More information

ANALYSIS AND ACCOUNTING OF TOTAL CASH FLOW

ANALYSIS AND ACCOUNTING OF TOTAL CASH FLOW Annals of he Universiy of Peroşani, Economics, 12(1), 2012, 205-216 205 ANALYSIS AND ACCOUNTING OF TOTAL CASH FLOW MELANIA ELENA MICULEAC ABSTRACT: In order o reach he objecive of supplying some relevan

More information

LOAN-TO-VALUE RATIO AS A MACRO-PRUDENTIAL TOOL HONG KONG S EXPERIENCE AND CROSS-COUNTRY EVIDENCE

LOAN-TO-VALUE RATIO AS A MACRO-PRUDENTIAL TOOL HONG KONG S EXPERIENCE AND CROSS-COUNTRY EVIDENCE Working Paper 01/011 17 February 011 LOAN-TO-VALUE RATIO AS A MACRO-PRUDENTIAL TOOL HONG KONG S EXPERIENCE AND CROSS-COUNTRY EVIDENCE Eric Wong, Tom Fong, Ka-fai Li and Henry Choi * Research Deparmen,

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

The impact of Federal Reserve asset purchase programmes: another twist 1

The impact of Federal Reserve asset purchase programmes: another twist 1 Jack Meaning jm583@ken.ac.uk eng Zhu feng.zhu@bis.org The impac of ederal Reserve asse purchase programmes: anoher wis 1 This aricle examines he effeciveness of recen ederal Reserve asse purchase programmes.

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

The Determinants of Trade Credit: Vietnam Experience

The Determinants of Trade Credit: Vietnam Experience Proceedings of he Second Asia-Pacific Conference on Global Business, Economics, Finance and Social Sciences (AP15Vienam Conference) ISBN: 978-1-63415-833-6 Danang, Vienam, 10-12 July 2015 Paper ID: V536

More information

Inflation Accounting. Advanced Financial Accounting

Inflation Accounting. Advanced Financial Accounting Inflaion Accouning Advanced Financial Accouning Inflaion: Definiions Decrease in purchasing power of money due o an increase in he general price level A process of seadily rising prices resuling in diminishing

More information

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers An Empirical Sudy on Capial Srucure and Financing Decision- Evidences from Eas Asian Tigers Dr. Jung-Lieh Hsiao and Ching-Yu Hsu, Naional Taipei Universiy, Taiwan Dr. Kuang-Hua Hsu, Chaoyang Universiy

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

Markit Excess Return Credit Indices Guide for price based indices

Markit Excess Return Credit Indices Guide for price based indices Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semi-annual

More information

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and

More information

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying

More information

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues Discussion Paper No. 0120 Marke Efficiency or No? The Behaviour of China s Sock Prices in Response o he Announcemen of Bonus Issues Michelle L. Barnes and Shiguang Ma May 2001 Adelaide Universiy SA 5005,

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Depreciation and Corporate Taxes

Depreciation and Corporate Taxes 205 Depreciaion and Corporae Taxes Chris Hendrickson Carnegie Mellon Universiy Tung Au Carnegie Mellon Universiy 205.1 Depreciaion as Tax Deducion 205.2 Tax Laws and Tax Planning 205.3 Decision Crieria

More information

Determinants of Bank Long-term Lending Behavior in the Central African Economic and Monetary Community (CEMAC)

Determinants of Bank Long-term Lending Behavior in the Central African Economic and Monetary Community (CEMAC) Review of Economics & Finance Submied on 05/Jan./2012 Aricle ID: 1923-7529-2012-02-107-08 Consan, Fouopi Djiogap and Augusin Ngomsi Deerminans of Bank Long-erm Lending Behavior in he Cenral African Economic

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

SKF Documented Solutions

SKF Documented Solutions SKF Documened Soluions Real world savings and we can prove i! How much can SKF save you? Le s do he numbers. The SKF Documened Soluions Program SKF is probably no he firs of your supplier parners o alk

More information

GUIDE GOVERNING SMI RISK CONTROL INDICES

GUIDE GOVERNING SMI RISK CONTROL INDICES GUIDE GOVERNING SMI RISK CONTROL IND ICES SIX Swiss Exchange Ld 04/2012 i C O N T E N T S 1. Index srucure... 1 1.1 Concep... 1 1.2 General principles... 1 1.3 Index Commission... 1 1.4 Review of index

More information

Hotel Room Demand Forecasting via Observed Reservation Information

Hotel Room Demand Forecasting via Observed Reservation Information Proceedings of he Asia Pacific Indusrial Engineering & Managemen Sysems Conference 0 V. Kachivichyanuul, H.T. Luong, and R. Piaaso Eds. Hoel Room Demand Forecasing via Observed Reservaion Informaion aragain

More information

Term Structure of Prices of Asian Options

Term Structure of Prices of Asian Options Term Srucure of Prices of Asian Opions Jirô Akahori, Tsuomu Mikami, Kenji Yasuomi and Teruo Yokoa Dep. of Mahemaical Sciences, Risumeikan Universiy 1-1-1 Nojihigashi, Kusasu, Shiga 525-8577, Japan E-mail:

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

Chapter 6 Interest Rates and Bond Valuation

Chapter 6 Interest Rates and Bond Valuation Chaper 6 Ineres Raes and Bond Valuaion Definiion and Descripion of Bonds Long-erm deb-loosely, bonds wih a mauriy of one year or more Shor-erm deb-less han a year o mauriy, also called unfunded deb Bond-sricly

More information

The role of risk measures choice in ranking real estate funds: evidence from the Italian market

The role of risk measures choice in ranking real estate funds: evidence from the Italian market XIX Inernaional Tor Vergaa Conference on Money, Banking and Finance The role of risk measures choice in ranking real esae funds: evidence from he Ialian marke Claudio Giannoi, Universiy LUM Jean Monne

More information

What was the key determinant of loan quality deterioration of Russian banks

What was the key determinant of loan quality deterioration of Russian banks Wha was he key deerminan of loan qualiy deerioraion of Russian banks during he las crisis: macroeconomic condiions or risky business sraegies? 1 Anna Pesova, Mikhail Mamonov 2 Absrac During he laes crisis

More information

DEMAND FORECASTING MODELS

DEMAND FORECASTING MODELS DEMAND FORECASTING MODELS Conens E-2. ELECTRIC BILLED SALES AND CUSTOMER COUNTS Sysem-level Model Couny-level Model Easside King Couny-level Model E-6. ELECTRIC PEAK HOUR LOAD FORECASTING Sysem-level Forecas

More information

I. Basic Concepts (Ch. 1-4)

I. Basic Concepts (Ch. 1-4) (Ch. 1-4) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

Distributing Human Resources among Software Development Projects 1

Distributing Human Resources among Software Development Projects 1 Disribuing Human Resources among Sofware Developmen Proecs Macario Polo, María Dolores Maeos, Mario Piaini and rancisco Ruiz Summary This paper presens a mehod for esimaing he disribuion of human resources

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

Chapter 8 Student Lecture Notes 8-1

Chapter 8 Student Lecture Notes 8-1 Chaper Suden Lecure Noes - Chaper Goals QM: Business Saisics Chaper Analyzing and Forecasing -Series Daa Afer compleing his chaper, you should be able o: Idenify he componens presen in a ime series Develop

More information

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,

More information

Financial Prequalification for a Contractor by using a Dynamic Threshold Cash Flow Based Model

Financial Prequalification for a Contractor by using a Dynamic Threshold Cash Flow Based Model Financial Prequalicaion for a Conracor by using a Dynamic Threshold Cash Flow Based Model Wen-Haw Huang, Hsien-Hsing Liao, Hui-Ping Tserng, and Shu-Yi Lee indusry, undersanding he variaion of cash flow

More information

Table of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities

Table of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities Table of conens Chaper 1 Ineres raes and facors 1 1.1 Ineres 2 1.2 Simple ineres 4 1.3 Compound ineres 6 1.4 Accumulaed value 10 1.5 Presen value 11 1.6 Rae of discoun 13 1.7 Consan force of ineres 17

More information

THE INTEREST RATE PASS-THROUGH IN POLAND 1997-2005

THE INTEREST RATE PASS-THROUGH IN POLAND 1997-2005 Grzegorz Szafrański THE INTEREST RATE PASS-THROUGH IN POLAND 997-25 Absrac We analyze he ineres rae pass-hrough on aggregaed daa for Poland 997-25 by ARDL models wih ECM. We presen a few heoreical argumens

More information

FORWARD AND FUTURES CONTRACTS

FORWARD AND FUTURES CONTRACTS Page1 C H A P T E R 2 FORWARD AND FUTURES CONTRACTS 2.1 INTRODUCTION The main purpose of forward and fuures conracs is he managemen of risk. The exposure o risk as a resul of ransacing in he spo marke

More information

INDEX RULE BOOK Leverage, Short, and Bear Indices

INDEX RULE BOOK Leverage, Short, and Bear Indices INDEX RULE BOOK Leverage, Shor, and Bear Indices Version 14-01 Effecive from 1 June 2014 indices.euronex.com Index 1. Index Summary 1 2. Governance and Disclaimer 6 2.1 Indices 6 2.2 Compiler 6 2.3 Cases

More information

CALCULATION OF OMX TALLINN

CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN 1. OMX Tallinn index...3 2. Terms in use...3 3. Comuaion rules of OMX Tallinn...3 3.1. Oening, real-ime and closing value of he Index...3 3.2. Index

More information

Chapter 1. Introduction

Chapter 1. Introduction Chaper 1. Inroducion Jeonse 1 is one of he mos popular housing renal conracs in Korea and is no found elsewhere in he world. The Jeonse sysem is key o achieving an in-deph undersanding of he Korean housing

More information

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01 RKET BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015 All officiell saisik finns på: www.scb.se Saisikservice: fn 08-506 948 01 All official saisics can be found a: www.scb.se Saisics service, phone +46

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

Edinburgh Research Explorer

Edinburgh Research Explorer Edinburgh Research Explorer Asse Correlaions for cred card defauls Caion for published version: Crook, J & Belloi, T 01, 'Asse Correlaions for cred card defauls' Applied Financial Economics, vol, no.,

More information

Rationales of Mortgage Insurance Premium Structures

Rationales of Mortgage Insurance Premium Structures JOURNAL OF REAL ESTATE RESEARCH Raionales of Morgage Insurance Premium Srucures Barry Dennis* Chionglong Kuo* Tyler T. Yang* Absrac. This sudy examines he raionales for he design of morgage insurance premium

More information

Stock Market Liquidity and the Macroeconomy: Evidence from Japan

Stock Market Liquidity and the Macroeconomy: Evidence from Japan WP/05/6 Sock Marke Liquidiy and he Macroeconomy: Evidence from Japan Woon Gyu Choi and David Cook 2005 Inernaional Moneary Fund WP/05/6 IMF Working Paper IMF Insiue Sock Marke Liquidiy and he Macroeconomy:

More information

Appendix D Flexibility Factor/Margin of Choice Desktop Research

Appendix D Flexibility Factor/Margin of Choice Desktop Research Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4

More information

The Journal of Applied Business Research Volume 19, Number 4

The Journal of Applied Business Research Volume 19, Number 4 The Journal of Applied Business Research Volume 19, umber 4 ixed Or Variable Rae Choice In The Commercial Bank Business Loan Marke Manoj Ahavale (E-mail: ahavale@bsu.edu), Ball Sae Universiy Rober O. Edmiser

More information

The effect of debt on corporate profitability Evidence from French service sector

The effect of debt on corporate profitability Evidence from French service sector The effec of deb on corporae profiabiliy Evidence from French service secor Mazen KEBEWAR 1 mazen.kebewar@univ-orleans.fr mazen.kebewar@gmail.com Curren sudy aims o provide new empirical evidence on he

More information

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? Do Cenral Bank Liquidiy Faciliies Affec Inerbank Lending Raes? Jens H. E. Chrisensen Jose A. Lopez Glenn D. Rudebusch Federal Reserve Bank of San Francisco 101 Marke Sree San Francisco, CA 94105 Absrac

More information

Double Entry System of Accounting

Double Entry System of Accounting CHAPTER 2 Double Enry Sysem of Accouning Sysem of Accouning \ The following are he main sysem of accouning for recording he business ransacions: (a) Cash Sysem of Accouning. (b) Mercanile or Accrual Sysem

More information

Flight-to-Liquidity and Global Equity Returns

Flight-to-Liquidity and Global Equity Returns Fligh-o-Liquidiy and Global Equiy Reurns Ruslan Goyenko and Sergei Sarkissian * Firs draf: November 2007 This draf: May 2008 * The auhors are from he Faculy of Managemen, McGill Universiy, Monreal, QC

More information

Debt Accumulation, Debt Reduction, and Debt Spillovers in Canada, 1974-98*

Debt Accumulation, Debt Reduction, and Debt Spillovers in Canada, 1974-98* Deb Accumulaion, Deb Reducion, and Deb Spillovers in Canada, 1974-98* Ron Kneebone Deparmen of Economics Universiy of Calgary John Leach Deparmen of Economics McMaser Universiy Ocober, 2000 Absrac Wha

More information

Premium Income of Indian Life Insurance Industry

Premium Income of Indian Life Insurance Industry Premium Income of Indian Life Insurance Indusry A Toal Facor Produciviy Approach Ram Praap Sinha* Subsequen o he passage of he Insurance Regulaory and Developmen Auhoriy (IRDA) Ac, 1999, he life insurance

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information

LECTURE: SOCIAL SECURITY HILARY HOYNES UC DAVIS EC230 OUTLINE OF LECTURE:

LECTURE: SOCIAL SECURITY HILARY HOYNES UC DAVIS EC230 OUTLINE OF LECTURE: LECTURE: SOCIAL SECURITY HILARY HOYNES UC DAVIS EC230 OUTLINE OF LECTURE: 1. Inroducion and definiions 2. Insiuional Deails in Social Securiy 3. Social Securiy and Redisribuion 4. Jusificaion for Governmen

More information

ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIŃSKIEGO NR 690 FINANSE, RYNKI FINANSOWE, UBEZPIECZENIA NR 51 2012

ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIŃSKIEGO NR 690 FINANSE, RYNKI FINANSOWE, UBEZPIECZENIA NR 51 2012 ZESZYTY NAUKOWE UNIWERSYTETU SZCZECIŃSKIEGO NR 690 FINANSE, RYNKI FINANSOWE, UBEZPIECZENIA NR 51 2012 BARTŁOMIEJ NITA VALUE CREATION MEASUREMENT IN RESPONSIBILITY ACCOUNTING Inroducion Responsibiliy accouning

More information

Individual Health Insurance April 30, 2008 Pages 167-170

Individual Health Insurance April 30, 2008 Pages 167-170 Individual Healh Insurance April 30, 2008 Pages 167-170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve

More information

Establishing Prefabricated Wood I-Joist Composite EI

Establishing Prefabricated Wood I-Joist Composite EI July 008 Esablishing Prefabricaed Wood I- Composie EI INTRODUCTION Composie (glued/nailed) floors are common in boh residenial and commercial consrucion, and have been successfully designed by Prefabricaed

More information

Commission Costs, Illiquidity and Stock Returns

Commission Costs, Illiquidity and Stock Returns Commission Coss, Illiquidiy and Sock Reurns Jinliang Li* College of Business Adminisraion, Norheasern Universiy 413 Hayden Hall, Boson, MA 02115 Telephone: 617.373.4707 Email: jin.li@neu.edu Rober Mooradian

More information

Does Mortgage Hedging Raise Long-Term Interest Rate Volatility? *

Does Mortgage Hedging Raise Long-Term Interest Rate Volatility? * Preliminary Draf: Please do no quoe wihou he auhors' permission. Does Morgage Hedging Raise Long-Term Ineres Rae Volailiy? * by Yan Chang, Douglas McManus and Buchi Ramagopal Freddie Mac Office of he Chief

More information

DNB W o r k i n g P a p e r. Public Debt Managers Behaviour: Interactions with Macro Policies. No. 273 / December 2010

DNB W o r k i n g P a p e r. Public Debt Managers Behaviour: Interactions with Macro Policies. No. 273 / December 2010 DNB Working Paper No. 273 / December 2010 Lex Hoogduin, Bahar Özürk and Peer Wiers DNB W o r k i n g P a p e r Public Deb Managers Behaviour: Ineracions wih Macro Policies Public Deb Managers Behaviour:

More information

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR THE FIRST ANNUAL PACIFIC-BASIN FINANCE CONFERENCE The

More information

Technical Description of S&P 500 Buy-Write Monthly Index Composition

Technical Description of S&P 500 Buy-Write Monthly Index Composition Technical Descripion of S&P 500 Buy-Wrie Monhly Index Composiion The S&P 500 Buy-Wrie Monhly (BWM) index is a oal reurn index based on wriing he nearby a-he-money S&P 500 call opion agains he S&P 500 index

More information

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment Vol. 7, No. 6 (04), pp. 365-374 hp://dx.doi.org/0.457/ijhi.04.7.6.3 Research on Invenory Sharing and Pricing Sraegy of Mulichannel Reailer wih Channel Preference in Inerne Environmen Hanzong Li College

More information