News
CENTRAL BANK MONITORING IV/2023
Most of the central banks under review did not change their rates in the last quarter, but a few of them have raised their rates further, while others are gradually lowering them. The ECB has moved to the next phase of the digital euro project, the mandates of the central banks in New Zealand and Australia have changed. Spotlight focuses on monetary policy of the Chinese central bank. In our Selected Speech, SNB Governor discusses the role of monetary policy uncertainty in the context of current economic developments. Find the latest edition right here.
UNEXPECTED LOSS ESTIMATION – R SHINY
Simple application which demonstrates one of the possible variants of implementing mathematical models in practice, which does not require large financial costs. The mathematical model (in this case it is a basic model for calculating unexpected risk based on the CreditMetrics methodology) is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework. These globally used software tools allow easy implementation of very complex mathematical models and graphically advanced user interfaces.
SCORING DEVELOPMENT APPLICATION – R SHINY
This application is a simple yet effective tool for creating scoring models from initial univariate data analysis to basic validation of the resulting model. The range of methods and tools implemented has been deliberately simplified for this demonstration. If desired, additional functionalities and mathematical methods can be added to ensure that the application meets the needs and methodological requirements of users. The application is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework.
WE SUPPORT CONNECTION WITH UNIVERSITIES BY LECTURING
Credit Risk, Financial Derivatives, Quantitative Investments – University of Economics
Sampling Theory, Data Exploration, Derivatives – Faculty of Mathematics and Physics, Charles University
BANKS‘ CREDIT LOSS FORECASTS: LESSONS FROM SUPERVISORY DATA
After the Great Financial Crisis, policy initiatives sought to overhaul banks‘ measurement of financial risks for regulatory purposes. One objective was to reduce the procyclicality in risk estimates, another was to ensure that actual risks are the main driver of differences in risk estimates across banks. Against this backdrop, we evaluate banks‘ estimates of credit risk. Read the whole working paper here.
MONETARY POLICY DECISIONS
Inflation continues to decline but is still expected to remain too high for too long. The Governing Council is determined to ensure that inflation returns to its 2% medium-term target in a timely manner. In order to reinforce progress towards its target, the Governing Council today decided to raise the three key ECB interest rates by 25 basis points. Explore the full article here.
PERCEPTIONS OF RISK AND POLICY OUTLOOK DRIVE MARKETS
Perceptions of the future path of monetary policy shaped markets as central banks continued their fight against inflation. A benign assessment of the risk landscape supported risky asset valuations, notwithstanding subdued earnings forecasts. EME asset performance was generally strong but was also sensitive to AE financial conditions and to the ebb and flow of the US dollar. Continue reading.
ECB PUBLISHES SUPERVISORY BANKING STATISTICS FOR THE FOURTH QUARTER OF 2022
Aggregate Common Equity Tier 1 ratio up to 15.27% in fourth quarter of 2022. Aggregated annualised return on equity up to 7.68% (compared with 7.55% in previous quarter and 6.70% one year ago), driven by increase in net interest income. Aggregate liquidity coverage ratio stable at 161.46% and net stable funding ratio slightly down to 125.76%. Read the full article here.
CNB RELEASES SPRING ISSUE OF THE FINANCIAL STABILITY REPORT
One of the main CNB’s publications in the area of financial stability and macroprudential policy is published. The Report is the key document for the Bank Board’s meetings on financial stability issues.
THE TWO-REGIME VIEW OF INFLATION
The global surge of inflation that started in 2021 took most observers by surprise. It threatened to thrust the world back into an inflationary environment that we thought we had finally escaped decades ago. This study – prepared by BIS staff – documents the stylized facts describing the two regimes – low and high inflation – and the transitions between them based on disaggregated price dynamics and the joint behaviour of wages and prices.