Search Results - subject:"FOREIGN CURRENCY"

Some Issues of Bank Lending to Resident Borrowers in Foreign Currency : Ukrainian Scenario

Voloshyn, Ihor - 2016

The mechanics of bank lending to resident borrowers in foreign currency in order to buy properties for domestic … currency is given. It is shown that a bank may open a virtual position in a foreign currency, even not having the foreign …. Lending to residents in foreign currency leads to narrowing liquidity in domestic currency and accumulation of credit risk …

Persistent link: https://www.econbiz.de/10013001923

Toxic Currency Options in Poland as a Consequence of the 2008 Financial Crisis

Liberadzki, Kamil - 2016

The paper is on toxic foreign exchange options problem which occurred in Poland just prior to - and after the outbreak of the recent crisis. Especially Polish enterprises were severely stroke by transactions on fx - and interest rate - derivatives contracted with their banks. Poland was the only...

Persistent link: https://www.econbiz.de/10013003355

Credit Quanto Spreads

Fenger, Christian - 2016

This paper presents a new modeling approach for credit quanto spreads, covering credit default swap quanto spreads, bond quanto spreads and bond redenomination spreads. Credit quanto spreads are implied from a hazard rate diffusion model and a FX rate jump diffusion model, where the jumps are...

Persistent link: https://www.econbiz.de/10013003982

Explaining the Smile in Currency Options : Is It Anchoring?

Siddiqi, Hammad - 2016

What happens when the anchoring and adjustment heuristic of Tversky and Kahneman (1974) is incorporated in currency option models? Surprisingly, it generates the peculiar features of currency smiles within the Black-Scholes framework, while adding power to stochastic volatility and jump...

Persistent link: https://www.econbiz.de/10013004946

Analogy Based Valuation of Currency Options

Siddiqi, Hammad - 2016

Persistent link: https://www.econbiz.de/10013005209

Dynamic Interactions between Government Bonds and Exchange Rate Expectations in Currency Options

Hui, Cho-Hoi - 2016

This paper examines the dynamic interactions between the government bond yields of Germany, Japan and the US and their exchange rate expectations anticipated in the currency options, i.e., risk reversals (put premia) of the US dollar versus the yen and euro. Short-term, one-way information flow...

Persistent link: https://www.econbiz.de/10012982329

On the roles of different foreign currencies in European bank lending

Krogstrup, Signe; Tille, Cédric - 2016

foreign currency bank lending. We show that the patterns differ sharply across foreign currencies. The Swiss franc is used … drivers identified for Swiss franc lending. Policy measures aimed at foreign currency lending have a clear impact on lending … to residents. The results underline that not all foreign currencies are alike when it comes to foreign currency bank …

Persistent link: https://www.econbiz.de/10011541237

Capital inflow surges and consequences

Ghosh, Atish R.; Qureshi, Mahvash Saeed - 2016

, foreign currency-denominated lending). But are all inflows the same? In this paper, we examine whether the source of the …

Persistent link: https://www.econbiz.de/10011522086

Equilibrium foreign currency mortgages

Kolasa, Marcin - 2016

Persistent link: https://www.econbiz.de/10011662123

Gold and its determining role in modernization and technological processes related to changing geo-economic structure of the world

Dudin, Michail; Sekerin, V. D.; Gorohova, Anna Evgenevna; … - In: International journal of economics and financial issues … 6 (2016) 2, pp. 50-57

Persistent link: https://www.econbiz.de/10011781414