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Mixing QE and Interest Rate Policies at the Effective Lower Bound: Micro Evidence from the Euro Area
Alexander Rodnyansky / Christian Bittner / Farzad Saidi / Yannick Timmer
banking / interest ratesResource overview

Mixing QE and Interest Rate Policies at the Effective Lower Bound: Micro Evidence from the Euro Area

Paper2024

by Alexander Rodnyansky, Christian Bittner, Farzad Saidi, Yannick Timmer

Tags
bankinginterest rates

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

Before you read

  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.

Go further

  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

    Study a tractable mean-reverting rate model.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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Explore Fixed Income and Interest-Rate Models Explore Counterparty Credit Risk and CVA

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