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Expansionary yet different: credit supply and real effects of negative interest rate policy
Andrea F. Presbitero / Andrea Polo / Camelia Minoiu / Enrico Sette / José-Luis Peydró / Margherita Bottero
banking / causal inferenceResource overview

Expansionary yet different: credit supply and real effects of negative interest rate policy

Paper2020

by Andrea F. Presbitero, Andrea Polo, Camelia Minoiu, Enrico Sette, José-Luis Peydró, Margherita Bottero

Tags
bankingcausal inferencecredit marketseconomic policyinterest rates

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Suggested foundations for rates and fixed income and credit and counterparty risk. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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