tailieunhanh - Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book

Nonfinancial and nonbank financial businesses raise funds in the money market primarily by issuing commercial paper, which is a short-term unsecured promissory note. In recent years an increasing number of firms have gained access to this market, and commercial paper has grown at a rapid pace. Business enterprises—generally those involved in international trade—also raise funds in the money market through bankers acceptances. A bankers acceptance is a time draft drawn on and accepted by a bank (after which the draft becomes an unconditional liability of the bank). In a typical bankers acceptance a bank accepts a time draft from an. | EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1041 I APRIL 2009 AN ECONOMIC CAPITAL MODEL INTEGRATING CREDIT AND INTEREST RATE RISK IN THE BANKING BOOK by Piergiorgio Alessandri and Mathias Drehmann EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1041 I APRIL 2009 AN ECONOMIC CAPITAL MODEL INTEGRATING CREDIT AND INTEREST RATE RISK IN THE BANKING BOOK 1 by Piergiorgio Alessandri2 and Mathias Drehmann 3 In 2009 all ECB publications feature a motif taken from the 200 banknote. This paper can be downloaded without charge from . or from the Social Science Research Network electronic library at http abstract_id 1365119. I The views and analysis expressed in this paper are those of the author and do not necessarily reflect those of the Bank of England or the Bank for International Settlements. We would like to thank Claus Puhr for coding support. We would also like to thank Matt Pritzker and anonymous referees for very helpful comments. We also benefited from the discussant and participants at the conference on the Interaction of Market and Credit Risk jointly hosted by the Basel Committee the Bundesbank and the Journal of Banking and Finance. 2 Bank of England Threadneedle Street London EC2R 8AH UK e-mail 3 Corresponding author Bank for International Settlements Centralbahnplatz 2 CH-4002 Basel Switzerland e-mail European Central Bank 2009 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http Fax 49 69 1344 6000 All rights reserved Any reproduction publication and reprint in the form of a different publication whether printed or produced electronically in whole or in part is permitted only with the explicit written authorisation of the ECB or the aathorf . The views expressed in this paper do not necessarily reflect those of the European .

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