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雷达卡
下面是大致的目录
BIS Quarterly Review
September 2009
International banking and financial market developments
Overview: cautious optimism on gradual recovery .............................................. 1
Bond market investors ponder pace of the recovery ............................. 2
Box: Exiting from balance sheet policy of central banks ..................... 6
Equity markets push higher despite bouts of volatility ........................... 8
Credit markets continue to improve ...................................................... 10
Chinese equity correction reverberates in other markets ...................... 14
Highlights of international banking and financial market activity ......................... 17
The international banking market ......................................................... 17
The international debt securities market ............................................... 23
Derivatives markets ............................................................................. 24
Special features
The future of securitisation: how to align incentives? ......................................... 27
Ingo Fender and Janet Mitchell
Tackling the structural weaknesses in securitisation ............................. 29
Aligning incentives in securitisation markets: tranche retention ............. 36
Box: Incentives in securitisation – a simple model .............................. 38
Conclusion ........................................................................................... 41
Central counterparties for over-the-counter derivatives ...................................... 45
Stephen Cecchetti, Jacob Gyntelberg and Marc Hollanders
The growth of OTC derivatives markets ................................................ 46
The organisation of OTC derivatives markets ....................................... 47
Financial stability and central counterparties ........................................ 50
Recent developments in the introduction of CCPs ................................ 52
Challenges related to the introduction of central counterparties ............ 54
Concluding remarks ............................................................................. 56
The cost of equity for global banks: a CAPM perspective from 1990 to 2009 ...... 59
Michael King
Prior studies of bank cost of equity........................................................ 60
The capital asset pricing model ............................................................ 62
Estimation and results .......................................................................... 63
Box: Estimating the cost of equity ...................................................... 64
What explains changes in cost of equity estimates? ............................. 68
Sensitivity of estimates to assumptions ................................................ 71
Conclusion ........................................................................................... 72
The systemic importance of financial institutions ................................................ 75
Nikola Tarashev, Claudio Borio and Kostas Tsatsaronis
The allocation procedure: measuring systemic importance ................... 76
Box 1: Shapley value allocation methodology: a specific example ......... 77
Drivers of systemic importance: stylised examples ............................... 79
Implementing the tool: beyond stylised examples ................................. 83
Box 2: Applying the method in a policy context: choices and trade-offs .. 83
Conclusion ........................................................................................... 85
Technical appendix: expected shortfall ................................................. 86
Introduction to the BIS locational and consolidated
international banking statistics ........................................................................................... page A4
1 BIS reporting banks: Summary of international positions ............................................ A7
2 External positions of banks in individual reporting countries
A In all currencies vis-à-vis all sectors .................................................................................. A8
B In all currencies vis-à-vis the non-bank sector ................................................................... A9
C In foreign currencies vis-à-vis all sectors ......................................................................... A10
D In foreign currencies vis-à-vis the non-bank sector .......................................................... A11
3 External loans and deposits of banks in individual reporting countries
A In all currencies vis-à-vis all sectors ................................................................................ A12
B In all currencies vis-à-vis the non-bank sector ................................................................. A13
4 Local positions in foreign currency of banks in individual reporting countries
A Vis-à-vis all sectors.......................................................................................................... A14
B Vis-à-vis the non-bank sector........................................................................................... A15
5 Currency breakdown of reporting banks’ international positions
A Cross border positions vis-à-vis all sectors ...................................................................... A16
B Cross border positions vis-à-vis the non-bank sector ....................................................... A17
C Cross border positions vis-à-vis official monetary institutions........................................... A18
D Local positions in foreign currency vis-à-vis all sectors and vis-à-vis
the non-bank sector ......................................................................................................... A19
6 External positions of reporting banks vis-à-vis individual countries
A Vis-à-vis all sectors.......................................................................................................... A20
B Vis-à-vis the non-bank sector........................................................................................... A28
7 External loans and deposits of reporting banks vis-à-vis individual countries
A Vis-à-vis all sectors.......................................................................................................... A36
B Vis-à-vis the non-bank sector........................................................................................... A44
8 International positions by nationality of ownership of reporting banks
A Amounts outstanding ....................................................................................................... A52
B Estimated exchange rate adjusted changes..................................................................... A53
9 Consolidated claims of reporting banks on individual countries
A International and foreign claims by maturity and sector.................................................... A54
B Foreign claims by nationality of reporting banks, immediate borrower basis .................... A62
C Foreign claims by sector and type, ultimate risk basis ..................................................... A70
D Foreign claims by nationality of reporting banks, ultimate risk basis ................................ A74
10 Signed international syndicated credit facilities by nationality of borrower ............. A82
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