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1 - 5 van 5 voor interest rate swap
Dia 1
... beginning of 2010 decline by 12 points decomposition equity 0 bonds + 3 liabilities + 15 interest rate down, life expectancy up note that this concerns funding of nominal entitlements only so ... issue wage linked bonds political risks risk to governance if government owns equity better swap risks? corporatist solution mandatory participation in pension funds may solve limited liability of human ...
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Microsoft Word - discussion164.doc
... insur- ance contract against the default risk of bank. the premium of a credit default swap 10 depends on the probability that the default risk materializes. the correlation between the ... rate is the key determinant of a financial crises. 17 defined as the difference of the real interest rate of a country and the world interest rate. the world interest rate is defined as the average interest rate ...
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dp175 systemic risk across sectors pdf
... off-balance sheet data. other papers use credit default swap (cds) rates to estimate the probability of a failure (see, ... predictable at a short horizon and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. slijkerman et al. ... risk of common risk factors, such as market risk or interest rate risk, plays a relatively large role in this sector. ...
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memo248.pdf
... the 15-years swap interest rate rw 0.045 and the survival rates .9 the swap rate is assumed to be one percent-point larger than the bond rate. discounting with the lower bond rate should lead ... ) bp(t, j) swap rate used for the calibration. in the ultimate baseline scenario we have used a swap interest rate of 4%, which better fits to the actual recent development swap rate. 31 finally, we can ...
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Tilburg finance tool huisstijl pdf
... iv on, zero-coupon rates are constructed from swap rates published by de nederlandsche bank (www. ... standard error) expected inflation t xt nominal interest rate r0 +r process real interest rate and expected inflation dxt dt -kxtdt ... interest rate is lower in the netherlands, the range of the interest rate seems rather the same due to the larger persistency in the netherlands (figure 8). the real rate ...
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