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Monetary policy and bank profitability in a low interest rate environment
Carlo Altavilla / José-Luis Peydró / Miguel Boucinha
banking / interest ratesResource overview

Monetary policy and bank profitability in a low interest rate environment

Paper2018

by Carlo Altavilla, José-Luis Peydró, Miguel Boucinha

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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