Tag: Interest rate
Currency depreciation is linked to higher non-performing assets in Indian banks
Explore how currency depreciation, inflation, and monetary policy drive non-performing assets in Indian banking. Study of 30 banks reveals exchange rate management matters more than GDP growth for.
Negative interest rates linked to lower loan loss provisioning
Study of 1958 OECD banks shows that negative interest rate policies reduce loan loss provisioning, with effects varying by inflation, bank size, and specialization.
Analytic GMIB valuation was faster than Monte Carlo simulation
Framework for valuing guaranteed minimum income benefits in variable annuities using numéraire transformation; achieves 99% computational time reduction versus Monte Carlo simulation.
Positive CBDC stance linked to higher bank net interest margin
Study shows CBDC development leads banks to widen interest margins by raising both deposit and lending rates to counter increased competition from digital currencies.
Unweighted HJM setting supports yield-curve modeling with negative yields
New approach to Heath–Jarrow–Morton framework using unweighted function spaces and functional PCA, enabling better yield curve modeling with support for negative interest rates.
European housing markets mediate monetary policy effects
Analyze how monetary policy affects European housing markets over 30 years, revealing housing prices respond more strongly than inflation and output to policy shocks.
Liquidity-trap spillovers differ sharply across asset-supply shocks
Examine how asset market shocks transmit across borders differently in liquidity traps versus normal times, using a heterogeneous-agent framework with financial frictions.
Correlated regime-switching raises guaranteed annuity option prices
Learn how regime-switching models and correlated risks improve guaranteed annuity option valuation, providing insurers with accurate pricing and enhanced risk management frameworks.
