Relevant bibliographies by topics / Income fixed

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Income fixed'

Author: Grafiati
Published: 4 June 2021
Last updated: 3 February 2022

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Journal articles on the topic "Income fixed"

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Fong, H. Gifford, and Oldrich A. Vasicek. "Fixed–income volatility management." Journal of Portfolio Management 17, no. 4 (July 31, 1991): 41–46. http://dx.doi.org/10.3905/jpm.1991.409345.

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Nelson, Frederic A. "Indexing Fixed-Income Investments." ICFA Continuing Education Series 1987, no. 4 (January 1987): 57–63. http://dx.doi.org/10.2469/cp.v1987.n4.11.

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Leibowitz, Martin L., Lawrence N. Bader, and Stanley Kogelman. "Global Fixed-Income Investing." Journal of Fixed Income 3, no. 1 (June 30, 1993): 7–18. http://dx.doi.org/10.3905/jfi.1993.408071.

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Shen, Shawn, Arom Pathammavong, and Alex Chen. "Fixed-Income Value Factor." Journal of Fixed Income 29, no. 1 (February 14, 2019): 21–43. http://dx.doi.org/10.3905/jfi.2019.1.067.

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Brooks, Jordan, Tony Gould, and Scott Richardson. "Active Fixed Income Illusions." Journal of Fixed Income 29, no. 4 (March 4, 2020): 5–19. http://dx.doi.org/10.3905/jfi.2020.1.086.

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Iwanowski, Raymond J. "U.S. Fixed-Income Sector Allocation." Journal of Portfolio Management 22, no. 4 (July 31, 1996): 69–91. http://dx.doi.org/10.3905/jpm.1996.409569.

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Chance, Don M. "Derivatives in Fixed-Income Portfolios." AIMR Conference Proceedings 1998, no. 4 (June 1998): 28–37. http://dx.doi.org/10.2469/cp.v1998.n4.3.

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Asay, Michael R. "Global Fixed Income: Asset Allocation." AIMR Conference Proceedings 2002, no. 1 (March 2002): 42–50. http://dx.doi.org/10.2469/cp.v2002.n1.3170.

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Davidson, R. B. "Tax-Savvy Fixed-Income Investing." AIMR Conference Proceedings 2003, no. 5 (February 10, 2003): 80–89. http://dx.doi.org/10.2469/cp.v2003.n5.3324.

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Wosepka, Kent. "Alternative Strategies in Fixed Income." CFA Institute Conference Proceedings Quarterly 25, no. 1 (March 2008): 40–46. http://dx.doi.org/10.2469/cp.v25.n1.7.

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Dissertations / Theses on the topic "Income fixed"

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Chaqchaq, Othmane. "Fixed Income Modeling." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-192372.

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Besides financial analysis, quantitative tools play a major role in asset management. By managing the aggregation of large amount of historical and prospective data on different asset classes, it can give portfolio allocation solution with respect to risk and regulatory constraints. Asset class modeling requires three main steps, the first one is to assess the product features (risk premium and risks) by considering historical and prospective data, which in the case of fixed income depends on spread and default levels. The second is choosing the quantitative model, in this study we introduce a new credit model, which unlike equity like models, model default as a main feature of fixed income performance. The final step consists on calibrating the model. We start in this study with the modeling of bond classes and study its behavior in asset allocation, we than model the capital solution transaction as an example of a fixed income structured product.
Förutom finansiell analys, kvantitativa verktyg spelar en viktig roll i kapitalförvaltningen också. Genom att hantera sammanläggning av stora mängder historiska och framtida uppgifter om olika tillgångsklasser kan dessa verktyg ge placeringslösning med avseende på risk och regulatoriska begränsningar. Tillgångsklass modellering kräver tre huvudsteg: Den första är att utvärdera produktens funktioner (riskpremie och risker) genom att beakta historiska och framtida uppgifter, som i fallet med fast inkomst beror på spridning och normalnivåer. Den andra är att välja den kvantitativa modellen. I denna studie presenterar vi en ny kreditmodell, som till skillnad från aktieliknande modeller, utformar "standard" som det viktigaste inslaget i Fixed Income prestanda. Det sista steget består i att kalibrera modellen. Vi börjar denna studie med modellering av obligationsklasser och med att studera dess beteende i tillgångsallokering. Sedan, modellerar vi kapital lösning transaktionen som ett exempel på en fast inkomst strukturerad produkt.
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Puchon, Jozef. "Fixed income performance attribution." Hamburg Diplomica GmbH, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2927523&prov=M&dok_var=1&dok_ext=htm.

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Puchon, Jozef. "Fixed Income Performance Attribution /." Hamburg : Diplomica, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=2927523&prov=M&dok_var=1&dok_ext=htm.

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WEISKOPF, MARCELO. "IMMUNIZATION OF FIXED INCOME PORTFOLIOS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4324@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
O Asset Liability Management (ALM) é uma ferramenta essencial para uma administração eficaz de bancos, seguradoras e fundos de pensão, principalmente no que diz respeito ao monitoramento e controle de riscos enfrentados por estas instituições. Dentre estes riscos, o de taxa de juros é uma das principais fontes de perda potencial para uma instituição financeira. Este trabalho tem como objetivo estudar formas de se controlar este tipo de risco. Para tal, será estudada a fundo a estratégia de imunização de carteiras. Esta estratégia consiste em montar uma carteira ótima de forma que a mesma seja imune a variações na taxa de juros, ou seja, independente das variações que ocorram nas taxas de juros, o valor da carteira não se altere. Dois modelos de imunização de carteiras de renda fixa propostos na literatura são estudados detalhadamente. Um utiliza a técnica de análise de componentes principais (ACP), imunizando a carteira na direção destes componentes. O outro modelo usa um método de minimização do risco estocástico. Em ambos, um exemplo ilustrativo é apresentado e uma aplicação prática é feita utilizando-se dados de um fundo de pensão no Brasil (este tipo de estratégia é de extremo interesse para fundos de pensão, que possuem longos fluxos de passivos e que desejam garantir que suas obrigações sejam sempre satisfeitas). Por fim, é feita uma análise dos resultados obtidos após a imunização.
Asset Liability Management (ALM) is an important tool used in the administration of banks, insurance companies and pension funds, especially for monitoring and controlling the risk those institutions usually face. Among the various types of risk, the interest rate risk is one of the main sources of potential loss for a financial institution. This dissertation aims to study ways of controlling this type of risk. Thus, we will thoroughly study the strategy used for Asset Liability Management. This strategy consists in assembling an optimum portfolio in a way that it becomes unaffected by changes in the interest rates. A couple of immunization models for fixed rate portfolios are studied in detail. One of them employs the method of principal component analysis (PCA), immunizing the portfolio in the direction of those components. The other model minimizes the stochastic risk. In both of them, we present an example and use of the method in a Brazilian pension fund (this strategy is highly interesting to pension funds since they work with a long liability cash flow and want to certify their obligations will always be satisfied). Finally, we analyse the results obtained with the two methods.
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Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.

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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps indicating some form of segmentation between long-maturity and short-maturity bonds. These results are robust to the choice of sample period, interpolation method and estimation method. In the second essay, we propose the use of the unscented Kalman filter technique for the estimation of affine term structure models using non-linear instruments. We focus on swap rates and show that the unscented Kalman filter leads to important reductions in bias and gains in precision. The use of the unscented Kalman filter results in substantial improvements in out-of-sample forecasts. Our findings suggest that the unscented Kalman filter may prove to be a good approach for a number of problems in fixed income pricing in which the relationship between the state vector and the observations is nonlinear, such as the estimation of term structure models using interest rate derivatives or coupon bonds, and the estimation of quadratic term structure models. The third essay provides a tractable framework for pricing defaultable securities with recovery risk. Pricing solutions are explored for a large family of discrete-time affine processes and a five-factor Gaussian model is estimated on BBB and B Standard and Poor's yield indices. This rich econometric setup allows the model to simultaneously capture two important stylized facts of defaultable securities: The positive correlation between the loss given default and the intensity of default, and the negative correlation between the intensity of default and the risk-free interest rate.
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Graf, Mario. "Technical Analysis in Fixed Income Markets." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01665710002/$FILE/01665710002.pdf.

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Kaeser, Peter. "Risikomanagement von Fixed Income Hedge Fonds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02603512002/$FILE/02603512002.pdf.

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Zeng, Hong. "Fixed Income Database Design & Architecture." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-053105-143623/.

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Jacoby, Gady. "Three essays on defaultable fixed income securities." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0005/NQ43430.pdf.

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Lerner, Peter B. "Three essays on fixed income securities markets." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2006. http://proquest.umi.com/login?COPT=REJTPTU0NWQmSU5UPTAmVkVSPTI=&clientId=3739.

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Books on the topic "Income fixed"

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Fabozzi, Frank J. Fixed Income Analysis. New York: John Wiley & Sons, Ltd., 2007.

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Fixed income modelling. Oxford: Oxford University Press, 2011.

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Fabozzi, Frank J. Fixed income mathematics. Chicago,Ill: Probus, 1993.

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Colin, Andrew. Fixed Income Attribution. New York: John Wiley & Sons, Ltd., 2005.

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Fixed income mathematics. Chicago, Ill: Probus Pub. Co., 1988.

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Choudhry, Moorad, David Moskovic, Max Wong, Suleman Baig, Zhuoshi Liu, Michele Lizzio, and Alexandru Voicu. Fixed Income Markets. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2014. http://dx.doi.org/10.1002/9781118638330.

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Marty, Wolfgang. Fixed Income Analytics. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-47158-3.

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Marty, Wolfgang. Fixed Income Analytics. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-48541-6.

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Colin, Andrew. Fixed Income Attribution. Oxford, UK: John Wiley & Sons Ltd, 2005. http://dx.doi.org/10.1002/9781118673560.

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Henderson, Tamara Mast. Fixed Income Strategy. New York: John Wiley & Sons, Ltd., 2004.

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Book chapters on the topic "Income fixed"

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Brockhaus, Oliver. "Fixed Income." In Equity Derivatives and Hybrids, 144–60. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137349491_10.

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Ang, Clifford S. "Fixed Income." In Springer Texts in Business and Economics, 241–302. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-14075-9_8.

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Ang, Clifford S. "Fixed Income." In Springer Texts in Business and Economics, 265–327. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-64155-9_9.

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Marty, Wolfgang. "Fixed-Income Benchmarks." In Fixed Income Analytics, 145–63. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-47158-3_8.

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Marty, Wolfgang. "Fixed-Income Benchmarks." In Fixed Income Analytics, 159–71. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-48541-6_7.

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Marty, Wolfgang. "The Flat Yield Curve Concept." In Fixed Income Analytics, 19–37. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-47158-3_3.

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"Fixed Income." In Sustainable Investing for Institutional Investors, 123–41. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119199137.ch8.

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"Fixed Income." In The Institutional ETF Toolbox, 251–84. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2016. http://dx.doi.org/10.1002/9781119094142.ch9.

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"Fixed Income." In An Introduction to Equity Derivatives, 19–34. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673522.ch3.

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Madhavan, Ananth N. "Fixed Income." In Exchange-Traded Funds and the New Dynamics of Investing, 88–105. Oxford University Press, 2016. http://dx.doi.org/10.1093/acprof:oso/9780190279394.003.0008.

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Conference papers on the topic "Income fixed"

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Williams, Timothy J. "Distributed calculations on fixed-income securities." In the 2nd Workshop. New York, New York, USA: ACM Press, 2009. http://dx.doi.org/10.1145/1645413.1645417.

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Maciel, Leandro, Fernando Gomide, and Rosangela Ballini. "Evolving fuzzy systems for pricing fixed income options." In 2011 IEEE Workshop on Evolving and Adaptive Intelligent Systems (EAIS) - Part Of 17273 - 2011 Ssci. IEEE, 2011. http://dx.doi.org/10.1109/eais.2011.5945922.

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Dubey, Gaurav, Pavas Navaney, Anshu Singh, and Gaurav Agarwal. "Outlier Detection Using Cluster Analysis for Fixed Income Bonds." In 2018 8th International Conference on Cloud Computing, Data Science & Engineering (Confluence). IEEE, 2018. http://dx.doi.org/10.1109/confluence.2018.8442746.

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Pawlak, Wojciech Michal, Marek Hlava, Martin Metaksov, and Cosmin Eugen Oancea. "Acceleration of lattice models for pricing portfolios of fixed-income derivatives." In PLDI '21: 42nd ACM SIGPLAN International Conference on Programming Language Design and Implementation. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3460944.3464309.

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Baczynski, Jack, Juan B. R. Otazu, and Jose V. M. Vicente. "A new method for pricing interest-rate derivatives in fixed income markets." In 2017 IEEE 56th Annual Conference on Decision and Control (CDC). IEEE, 2017. http://dx.doi.org/10.1109/cdc.2017.8264105.

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Luor, Tainyi, Chun-hsueh Chen, and Hsi-Peng Lu. "Fixed Income Investors on the Acceptance of E-Commerce: An Empirical Study." In 2009 First International Conference on Information Science and Engineering. IEEE, 2009. http://dx.doi.org/10.1109/icise.2009.597.

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Juwita, Himmiyatul Amanah Jiwa, Risna Wijayanti, and Toto Rahardjo. "Comparative Analysis of Equity Fund, Fixed Income Mutual Fund, and Mixed Mutual Fund." In 23rd Asian Forum of Business Education(AFBE 2019). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200606.031.

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Shakourifar, Mohammad, Ranjan Bhaduri, Ben Djerroud, Fei Meng, David Saunders, and Luis Seco. "Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis." In Innovations in Insurance, Risk- and Asset Management. WORLD SCIENTIFIC, 2018. http://dx.doi.org/10.1142/9789813272569_0009.

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Hualing Lu and Zhuxuanzi Deng. "Positive analysis on the relationship between fixed assets investment and business income of the telecommunication." In 2012 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2012. http://dx.doi.org/10.1109/iciii.2012.6339769.

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İsmihan, Mustafa, and Mustafa Can Küçüker. "The Dual Adjustment Approach with an Application to the Investment Function for Turkey (1963-2017)." In International Conference on Eurasian Economies. Eurasian Economists Association, 2019. http://dx.doi.org/10.36880/c11.02351.

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The dual adjustment approach enables us to consider separate dual co-movements of permanent and transitory components of time series variables and hence the possibility of dual adjustment. The common {filtered} trend concept is developed within the framework of dual adjustment approach and a simple test for the existence of such relationship is suggested for nonstationary macroeconomic variables. This paper investigates the dual adjustment with an application to the private sector fixed capital investment function by using the Turkish data over the 1963-2017 period. Our results indicated that private sector fixed capital investment and income, public sector fixed capital investment and macroeconomic instability are not cointegrated and hence they have spurious relationship. In contrast, according to the dual adjustment approach, these variables have a long run relationship. Additionally, it is shown that there are dual relationships between permanent and temporary components of private sector fixed capital investment and income. Furthermore, it is shown that there is no long run relationship between private sector fixed capital investments and public sector fixed capital investments but they are negatively related in the short run. In addition, it is concluded that macroeconomic instability is detrimental for private sector fixed capital investments only in the long run.
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Reports on the topic "Income fixed"

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Hanson, Samuel, Andrei Shleifer, Jeremy Stein, and Robert Vishny. Banks as Patient Fixed-Income Investors. Cambridge, MA: National Bureau of Economic Research, July 2014. http://dx.doi.org/10.3386/w20288.

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Sialm, Clemens, and Qifei Zhu. Currency Management by International Fixed Income Mutual Funds. Cambridge, MA: National Bureau of Economic Research, July 2021. http://dx.doi.org/10.3386/w29082.

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Feeley, T. J. III. Emissions reductions incoal-fired home heating stoves through use of briquettes. Quarterly report 1 April, 1995--30 June 1995. Office of Scientific and Technical Information (OSTI), July 1995. http://dx.doi.org/10.2172/211579.

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Financial Stability Report - First Semester of 2020. Banco de la República de Colombia, March 2021. http://dx.doi.org/10.32468/rept-estab-fin.1sem.eng-2020.

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In the face of the multiple shocks currently experienced by the domestic economy (resulting from the drop in oil prices and the appearance of a global pandemic), the Colombian financial system is in a position of sound solvency and adequate liquidity. At the same time, credit quality has been recovering and the exposure of credit institutions to firms with currency mismatches has declined relative to previous episodes of sudden drops in oil prices. These trends are reflected in the recent fading of red and blue tonalities in the performance and credit risk segments of the risk heatmaps in Graphs A and B.1 Naturally, the sudden, unanticipated change in macroeconomic conditions has caused the appearance of vulnerabilities for short-term financial stability. These vulnerabilities require close and continuous monitoring on the part of economic authorities. The main vulnerability is the response of credit and credit risk to a potential, temporarily extreme macroeconomic situation in the context of: (i) recently increased exposure of some banks to household sector, and (ii) reductions in net interest income that have led to a decline in the profitability of the banking business in the recent past. Furthermore, as a consequence of greater uncertainty and risk aversion, occasional problems may arise in the distribution of liquidity between agents and financial markets. With regards to local markets, spikes have been registered in the volatility of public and private fixed income securities in recent weeks that are consistent with the behavior of the international markets and have had a significant impact on the liquidity of those instruments (red portions in the most recent past of some market risk items on the map in Graph A). In order to adopt a forward-looking approach to those vulnerabilities, this Report presents a stress test that evaluates the resilience of credit institutions in the event of a hypothetical scenario thatseeks to simulate an extreme version of current macroeconomic conditions. The scenario assumes a hypothetical negative growth that is temporarily strong but recovers going into the middle of the coming year and has extreme effects on credit quality. The results suggest that credit institutions have the ability to withstand a significant deterioration in economic conditions in the short term. Even though there could be a strong impact on credit, liquidity, and profitability under the scenario being considered, aggregate capital ratios would probably remain at above their regulatory limits over the horizon of a year. In this context, the recent measures taken by both Banco de la República and the Office of the Financial Superintendent of Colombia that are intended to help preserve the financial stability of the Colombian economy become highly relevant. In compliance with its constitutional objectives and in coordination with the financial system’s security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions that are necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth functioning of the payment system. Juan José Echavarría Governor
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