The arbitrage-free valuation and hedging of demand deposits and credit card loans

Article Abstract:

The arbitrage-free methodology was utilized to handle demand deposit liabilities and credit card loan balances. The methodology, which can be utilized to quantify and to limit the interest rate risk exposure of a bank, showed that demand deposit liabilities and credit card loans are parallel with particular type of interest rate swap in which the principal relies on the previous history of market rates. The methodology can be utilized, together with credit risk analysis, in assessing the sufficiency of a bank's capital reserves by a bank or its regulators.

Hedging (Finance), Financial instruments

---

Sovereign debt and the London Club: a precommitment device for limiting punishment for default

Article Abstract:

Financial institutions, such as the London Club, may be adopted by banks as a tool to write contracts wherein sovereign debt is treated as forgiven ex post. It was also shown that centralized forums for foreign debt negotiations may actually enhance the efficiency of banking institutions to manage rescheduling activities and overcome precommitment problems. The model also highlights the notion that banks will be able to establish more credible precommitments by forming loan syndicates, rather than resorting to independent lending.

Debt & Capital Management, United Kingdom, Financial institutions, Financial management, External debts

---

Similar abstracts:

• Abstracts: Reversible site-selective labeling of membrane proteins in live cells. Time-controlled transcardiac perfusion cross-linking for the study of protein interactions in complex tissues
• Abstracts: A specialist's quoted depth and the limit order book. Liquidity and credit risk
• Abstracts: Active investment manager portfolios and preferences for stock characteristics. Stock preferences and derivative activities of Australian fund managers
• Abstracts: Early birds, late risers, and sleeping beauties: bank credit growth to the private sector in Central and Eastern Europe and in the Balkans
• Abstracts: Competition in markets with dominant firms: a note on the evidence from the Italian banking industry. Risk and hedging: do credit derivatives increase bank risk?

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.