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We analyse security design parameters of 1,115 high yield (HY) and investment grade (IG) event risk covenants (ERC …
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universal bank with investment banking and commercial banking activities. We run simulations for different strategies (fully … restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current …
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the face value and can we reliably measure it? To what extent is the economic value sensitive to yield curve changes? In … this paper, we try to answer the above questions. The valuation is performed on yield curve, deposit rate and deposit … (yield curve level versus slope shock) and on the average decay rate. We assess the reliability of the reported point …
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