A Closed-Form Approximation for Valuing European Basket Warrants Under Credit Risk and Interest Rate Risk

2010 ◽  
Author(s):  
sheu jen wen ◽  
Yung-Ming Shiu
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Closed Form ◽  
Interest Rate Risk ◽  
Rate Risk ◽  
Closed Form Approximation

scholarly journals The Effect of Risks on Banking Safety: Applied Study on Jordanian Traditional Banks (2005-2016)

2017 ◽  
Vol 9 (9) ◽  
pp. 102
Author(s):  
Mohammad Abdel Mohsen Al-Afeef ◽  
Atallah Hassan Al-Ta'ani
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Commercial Banks ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Bank Credit ◽  
Applied Study ◽  
Rate Risk ◽  
The Impact

Banking sector is one of the most important sectors that support the sustainable economic development in Jordan, therefore this study aimed to test the impact of risks; (Liquidity risk, bank credit risk and interest rate risk) on the safety in the banking sector in the Jordanian commercial banks during the period 2005-2016.The results of the study showed that there is a statistically significant impact for each of liquidity risk and interest rate risk on the safety in the banking sector, and there isn't statistically significant impact for credit risk on the safety in the banking sector during the period of this study, and also find that the explanatory of model was 60.5%, which means that 39.5% due to other factors.

Basel I to Basel III: Impact of Credit Risk and Interest Rate Risk of Banks in India

2018 ◽  
Vol 17 (1_suppl) ◽  
pp. S83-S111 ◽  
Author(s):  
Noor Ulain Rizvi ◽  
Smita Kashiramka ◽  
Shveta Singh
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Interest Rates ◽  
Banking System ◽  
Interest Rate Risk ◽  
Theoretical Background ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Rate Risk ◽  
Net Interest Margin

The study explores the theoretical background of Basel III and investigates the drivers of interest rate risk and credit risk of banks in various parlances, namely, pre and post the financial crisis, phases of implementation and ownership on a sample of 36 listed banks in India. The findings indicate that the high capital adequacy requirement (CAR) exhibits a positive relation with gross non-performing assets (GNPAs) and net interest margin (NIM). This is perhaps one of the major drawbacks of Basel implementation, which may become a cause of lower GDP in the future as explained in the findings of the literature. Originality/value: This article is perhaps the first attempt of its kind to empirically examine the bank-specific, macroeconomic variables and link it with the Basel implementation in the Indian banking system for the time period 2002–2015. This study endeavours to enhance the existing empirical research in the field and give insights into the role of various factors on GNPAs and interest rates (with regards to Indian banks).

scholarly journals Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Anjiao Wang ◽  
Zhongxing Ye
Keyword(s):  
Interest Rate ◽  
Closed Form ◽  
Interest Rate Risk ◽  
Counterparty Risk ◽  
Rate Model ◽  
Change Of Measure ◽  
Market Interest Rate ◽  
Rate Risk ◽  
Interest Rate Model ◽  
The Interest Rate

We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest rate. The cases where default is related to the interest rate and independent of interest rate are considered. Using the methods of change of measure and the “total hazard construction,” the joint default probabilities are obtained. Furthermore, we obtain the closed-form formulas of TRS under different contagion models, respectively.

scholarly journals FINANCIAL RISKS AND STOCK MARKET CRASHES: AN EMPIRICAL ANALYSIS OF THE TUNISIAN STOCK MARKET

2021 ◽  
Vol 10 ◽  
pp. 10-23
Author(s):  
Haifa Hammami ◽  
Younes Boujelbene
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Credit Risk ◽  
Liquidity Risk ◽  
Interest Rate Risk ◽  
Financial Risks ◽  
High Interest Rate ◽  
Market Risks ◽  
Market Crashes ◽  
Rate Risk

 This study aims to investigate the effect of financial risks on the stock market crashes occurrence from 1999 to 2020. Using the windows method, we detect two stock market crises in the Tunisian stock market. Based on the probit model, we find evidence that low stock return risk, low EUR/TND exchange rate risk, high interest rate risk, high credit risk and high liquidity risk increase the occurrence probability of stock market crashes. Our results suggest that the decrease in volatility, particularly in equity and exchange market, the increase in volatility in interest rate, the credit rating downgrades issued by Moody’s and the low liquidity market contribute to crashes in the Tunisian stock market. In summary, financial risks, which are the market risks, the credit risk and the liquidity risk could be leading indicators of crashes in the Tunisian stock market. Keywords: Stock market crashes; Liquidity risk; Credit risk; Market risks.

scholarly journals . Experimental synthetic approach to segment assessment of aggregate credit risk

2019 ◽  
Vol 48 (1) ◽  
pp. 184-189
Author(s):  
Светлана Черниченко ◽  
Svetlana Chernichenko ◽  
Роман Котов ◽  
Roman Kotov ◽  
Светлана Гильмулина ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Credit Risk ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Interest Rate Risk ◽  
Risk Level ◽  
Inflation Expectations ◽  
Synthetic Approach ◽  
Rate Risk

Multifaceted, multifactor and multicomponent nature of credit risk makes it possible to consider it as an integral hypothetical unit which consists of the autonomous diverse segments specifying risky situations. As the given article is focused on the mechanism of loan fund circulation within foreign currency loan the author considers the combination of credit, interest rate, foreign exchange and inflation risks within the aggregate (total, combined) credit risk. Foreign exchange and inflation risks generate special interest in relation to evaluation procedures as there can be statutory regulation of interest rate risk and well-functioning mechanism of debt capacity analysis as the main factor of credit risk. As commercial loans and bank credits taken by Russian companies are wide spread the authors of the article suggest an innovative procedure of aggregate credit risk assessment considering agricultural companies, as well as companies belonging to chemical and machine-building industries as “pure borrowers” (debtors). The research has a set sequence of procedures. During the first stage the authors structured a risky situation in the lending process, determined specific constituents and performed their further strategic agreement. The second stage implies the analysis of the possibilities and specific characteristics of the preliminary segment assessment of the risk level. The third stage involves the development of experimental synthetic approach to the segment assessment of the aggregate credit risk in case of foreign exchange rate and interest rate volatility when there are inflation expectations. The procedure considers the following scenarios: 1) isolated assessment of inflation risk; 2) isolated assessment of exchange rate risk; 3) complex assessment of inflation and exchange rate risks.

scholarly journals PENGARUH PENERAPAN MANAJEMEN RISIKO TERHADAP KINERJA KEUANGAN SEKTOR PERBANKAN PERIODE 2013-2017

2020 ◽  
Vol 10 (1) ◽  
pp. 102
Author(s):  
Deny Ismanto
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Financial Performance ◽  
Interest Rates ◽  
Foreign Exchange ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Operational Risk ◽  
Interest Rate Risk ◽  
Rate Risk

This study discusses liquidity risk, credit risk, operational risk, and interest rates risk on finance performance at the National Private Foreign Exchange Commercial Bank listed on the Indonesia Stock Exchange for the period 2013-2017. In this study, the independent variables are liquidity risk, credit risk, operational risk and interest rate risk and the dependent variable is financial performance. The object of research is the National Private Foreign Exchange Private Bank listed on the Indonesia Stock Exchange for the period 2013-2017. The population in this study was 23 banks. The sampling technique using purposive sampling method, based on research criteria, the research sample won 11 banks. The analysis tool used is panel regression data with eviews 6. The data used in this study is secondary data obtained from the official website pages of the Indonesia Stock Exchange and Bank Indonesia. Partially, the results of the study indicate that negative liquidity risk is not significant to finance, negative credit risk is significant to finance, operational risk is significantly negative to financial performance, and interest rates increase significantly positive to finance. Simultaneously liquidity risk, credit risk, operational risk and interest rate risk affect financial performance.

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