Markovian and Multi-curve Friendly Parametrisation of a HJM Model Used in Valuation Adjustment of Interest Rate Derivatives

• Autorzy: Marcin Dec
• Języki publikacji: EN

Abstrakty

EN

The global financial crisis brought an unprecedented increase in public spending, aiming at stabilization of systemically important banks. Single Resolution Mechanism and the BRR Directive were motivated by the need to limit and control public spending. However, their implementation raised a number of controversies, especially the use of the bail-in tool. The aim of this paper is therefore to analyse the construction and implementation of stabilization mechanisms, developed in the post-crisis period. In the empirical part, an attempt was made to examine whether stabilization measures, granted to EU systemically important banks in 2004-2016 period, had a positive effect on their stability and performance, assuming that if so, the attempt to improve the resolution process and decrease its cost are economically justified. The study covers banks operating in the EU based on Bankscope/Orbis database and uses both stability measures and the new performance indicator: Multi Level Performance Score. (original abstract)

Słowa kluczowe

EN

Interest rate; Derivatives; Markov models; Econometric modeling

PL

Stopa procentowa; Instrumenty pochodne; Modele Markowa; Modelowanie ekonometryczne

• Czasopismo: Bank i Kredyt
• Rocznik: 2019
• Numer: nr 2
• Strony: 107--148

Twórcy

autor

Marcin Dec

• Warsaw School of Economics

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