Essays about: "thesis of banking interest rate"

Showing result 1 - 5 of 14 essays containing the words thesis of banking interest rate.

  1. 1. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book

    University essay from KTH/Matematik (Avd.)

    Author : Gabriella Hulström; [2021]
    Keywords : Adjoint algorithmic differentiation; Economic Value of Equity; Interest Rate Risk; Net Interest Income; Risk Management; Adjoint algoritmisk derivering; Ekonomiskt Värde av Eget Kapital; Ränterisk; Räntenetto; Riskhantering;

    Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE

  3. 2. Commercial Bank Profitability in a Negative Interest Rate Environment : A study on the relationship between negative interest rates and commercial bank profitability in Denmark

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Lukas Kipper; Mohammed Imad Albarbari; [2020]
    Keywords : Bank profitability; Negative interest rates; Danish Commercial Banks; Monetary Policy; Return on Average Assets; Net Interest Margin;

    Abstract : Background: Denmark, along with other European countries, has decided to cut its policy interest rate into negative territory to meet macroeconomic objectives. This has historically been thought of as impossible and impacts commercial banks significantly. READ MORE

  4. 3. Potential implications of the introduction of CBDC for the conduct of monetary policy and the preservation of financial and monetary stability : A case study of the Central Bank of Sweden

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Iryna Gnatenko; [2020]
    Keywords : CBDC; unconventional monetary policy; central bank; digital money; Sweden; CBDC; digital centralbanksvaluta; okonventionell penningpolitik; centralbank; digitala pengar; Sverige;

    Abstract : The past decade has offered up some fintech innovations that are gradually reshaping the financial sector. Phasing out of paper currencies together with the populatization of the private digital currencies has propelled central banks to consider issuance of their digital currencies – so called Central Bank Digital Currency (CBDC). READ MORE

  5. 4. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Gustavsson; [2017]
    Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Abstract : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. READ MORE

  6. 5. SUPPLY CHAIN FINANCE A Buyer-Centric Supplier Payables Financing Initiative

    University essay from Lunds universitet/Produktionsekonomi

    Author : Martin Jemdahl; [2016]
    Keywords : Technology and Engineering;

    Abstract : With an increased importance of working capital management and supply chain risks, supply chain finance has gained an increasing interest from organizations across the world. A buyer-centric supply chain finance solution can create a ‘win-win’ situation for buyers and suppliers, by allowing buyers to extend payment terms and suppliers to get payments in advance. READ MORE