Pricing and risk adjusted measures

2021 ◽  
Author(s):  
◽  
Franco Fiordelisi ◽  
Corrado Meglio ◽  
Carlo Palego ◽  
Annalissa Richetto ◽  
...  
Keyword(s):  
Interest Rates ◽  
Business Model ◽  
Euro Area ◽  
Risk Profile ◽  
Risk Governance ◽  
Severe Restriction ◽  
Model Risk ◽  
Organizational Process ◽  
Industrial Sectors ◽  
Overall Risk

The issue of risk-based pricing of credit loans has become crucial for banking companies, in a context characterized by severe restriction of profitability margins also in relation to a level of market interest rates which in the Euro area is at its lowest. historical, now firmly in the negative area. The same European Authorities urge the adoption of adequate and consistent adjusted pricing frameworks with respect to the business model, risk profile and overall risk governance of the bank. The methodological and organizational process for determining the risk-adjusted pricing is further complicated by the ongoing Covid19 pandemic which, through the highly asymmetrical impacts on customer segments and industrial sectors, makes the forward-looking and macroeconomic assessment of the sectors risk even more relevant.

A behavioral analysis of interest rates in Euro area

2002 ◽  
Vol 28 (5) ◽  
pp. 1-19 ◽  
Author(s):  
Michael E. Sfakianakis
Keyword(s):  
Interest Rates ◽  
Euro Area ◽  
Behavioral Analysis

INTEREST RATE TARGETS AND SPECULATIVE ATTACKS ON PUBLIC DEBT

2018 ◽  
Vol 23 (07) ◽  
pp. 2698-2716 ◽  
Author(s):  
Pompeo Della Posta
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Public Debt ◽  
Nonlinear Behavior ◽  
Lender Of Last Resort ◽  
Speculative Attacks ◽  
The Interest Rate ◽  
Exchange Rate Target Zones ◽  
Primary Surplus

The application of exchange rate target zones modeling to interest rates allows interpreting the puzzles that emerged with the public debt euro area crisis, namely the nonlinear behavior of the interest rates and the fact that some stand-alone countries, not belonging to the euro area, have not been subject to speculative attacks in spite of equally large public debt-to-gross domestic product (GDP) ratios. As a matter of fact, this model shows that in the case of a noncredible upper threshold for the interest rate (that may be due to both the lack of room for increasing further the required government primary surplus and/or the absence of a monetary authority acting as a lender of last resort), the resulting public debt unsustainability determines an interest rate nonlinearity and makes the crisis possible for public debt levels that would be stable in the presence of a credible interest rate target.

scholarly journals Monetary Policy Surprises over Time

2018 ◽  
Vol 08 (01) ◽  
pp. 1840002 ◽  
Author(s):  
Marcello Pericoli ◽  
Giovanni Veronese
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Euro Area ◽  
Yield Curve ◽  
Sovereign Spreads ◽  
Definition Of ◽  
Term Premia ◽  
The Impact ◽  
Over Time

We document how the impact of monetary surprises on euro-area and US financial markets has changed from 1999 to date. We use a definition of monetary policy surprises, which singles out movements in the long-end of the yield curve — rather than those changing nearby futures on the central bank reference rates. By focusing only on this component of monetary policy, our results are more comparable over time. We find a hump-shaped response of the yield curve to monetary policy surprises, both in the pre-crisis period and since 2013. During the crisis years, Fed path-surprises, largely through their effect on term premia, account for the impact on interest rates, which is found to be increasing in tenor. In the euro area, the path-surprises reflect the shifts in sovereign spreads, and have a large impact on the entire constellation of interest rates, exchange rates and equity markets.

scholarly journals Liquidity, interest rates and house prices in the euro area: a DSGE analysis

2016 ◽  
Vol 9 (1) ◽  
pp. 4-25 ◽  
Author(s):  
Margarita Rubio ◽  
José A. Carrasco-Gallego
Keyword(s):  
Interest Rates ◽  
Monetary Union ◽  
Euro Area ◽  
House Prices ◽  
Housing Prices ◽  
House Price ◽  
Dsge Model ◽  
Content Type ◽  
The Core ◽  
Dynamic Stochastic

Purpose This study aims to build a two-country monetary union dynamic stochastic general equilibrium (DSGE) model with housing to assess how different shocks contributed to the increase in housing prices and credit in the European Economic and Monetary Union. One of the countries is calibrated to represent the core group in the euro area, while the other one corresponds to the periphery. Design/methodology/approach In this paper, the authors explore how a liquidity shock (or a decrease in the interest rate) affects house prices and the real economy through the asset price and the collateral channel. Then, they analyze how a house price shock in the periphery and a technology shock in the core countries are transmitted to both economies. Findings The authors find that a combination of an increase in liquidity in the euro area coming from the common monetary policy, together with asymmetric house price and technology shocks, contributed to an increase in house prices in the euro area and a stronger credit growth in the peripheral economies. Originality/value This paper represents the theoretical counterpart to empirical studies that show, through macroeconometric models, the interrelation between liquidity and other shocks with house prices. Using a DSGE model with housing, the authors disentangle the mechanisms behind these empirical findings.

scholarly journals Business Model Risk Analysis: Predicting the Probability of Business Network Profitability

2013 ◽  
pp. 118-130 ◽  
Author(s):  
Pontus Johnson ◽  
Maria Eugenia Iacob ◽  
Margus Välja ◽  
Marten van Sinderen ◽  
Christer Magnusson ◽  
...  
Keyword(s):  
Risk Analysis ◽  
Business Model ◽  
Business Network ◽  
Model Risk

Business Processes Management for a Green Telecommunications Company

2011 ◽  
pp. 197-213 ◽  
Author(s):  
Ramesh Balachandran
Keyword(s):  
Business Model ◽  
Crucial Role ◽  
Business Processes ◽  
Design Stage ◽  
Major Area ◽  
Stage Design ◽  
Business Transformation ◽  
Industrial Sectors ◽  
Green Ict ◽  
Almost All

The concept of Green ICT has been in consideration in almost all industrial sectors. The Telecommunication (Telco) sector in one such major area where Green ICT plays a crucial role. Telcos have opportunities and treats due the Green ICT initiatives. This chapter outlines these implications and proposes a Green Telco business model to match with Green ICT initiatives. This chapter then proposes the way and methodology to achieve Green Telco business model through the Business Processes Management based on more practical aspects. The concept of Business Processes Management (BPM) framework is initially discussed in its four stages. This is then followed by the use of this BPM framework to transform and manage business processes for a Green Telco. The business transformation to Green Telco is discussed as part of a BPM framework made up of the Strategy stage, Design stage, Realization stage and the Operational stage. This chapter finally concludes that the Green Telco business model is not a destination but a continuous journey and the BPM framework provides an excellent basis to achieve those Green Telco goals.

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