Search: derivative
RBA Glossary definition for derivative
derivative – A financial contract whose value is based on, or derived from, another financial instrument (such as a bond or share) or a market index (such as the Share Price Index). Examples of derivatives include futures, forwards, swaps and options.
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Read me file for Star Wars at Central Banks
4 Feb 2021
RDP
PDF
518KB
RDP 2021-02 supplementary information
https://www.rba.gov.au/publications/rdp/2021/2021-02/rdp-2021-02-read-me.pdf
Central Counterparty Links and Clearing System Exposures
2 Feb 2015
RDP
PDF
3395KB
With central clearing of OTC derivatives in its infancy, the eventual marketoutcome is uncertain. ... European regulators have to date not entertainedinteroperability in derivative markets, owing to the longer duration and greaterrisk of these contracts.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-12.pdf
Online Appendix: Explaining Monetary Spillovers: The Matrix Reloaded
8 Apr 2019
RDP
PDF
378KB
RDP 2019-03 online appendix
https://www.rba.gov.au/publications/rdp/2019/2019-03/rdp-2019-03-online-appendix.pdf
The Consequences of Low Interest Rates for the Australian Banking Sector
19 Dec 2022
RDP
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1588KB
accounts hit their ELB. Hedging of interest rate risk by Australian banks – either by maturity matching or via derivatives. –
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-08.pdf
Numerical Solution of Rational Expectations Models With and Without Strategic Behaviour
19 Nov 2012
RDP
PDF
549KB
non-linear versions of the MSG model when examining short-run properties. Finding numerical derivatives and solving for the endogenous variables (Z) as. ... b2. , y3. , etc.) are. numerical derivatives evaluated at the point of linearisation5.
https://www.rba.gov.au/publications/rdp/1987/pdf/rdp8706.pdf
The Supervisory Treatment of Banks’ Market Risk
30 Nov 2009
RDP
PDF
76KB
Manyhave pointed to the growth in banks' off-balance-sheet/derivative business asevidence of that process. ... 4.1 Specific Risk. Specific risk applies to all long and short trading positions in debt instruments andin related derivatives.
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9408.pdf
The Determinants of Mortgage Defaults in Australia – Evidence for the Double-trigger Hypothesis
19 Jul 2020
RDP
PDF
1853KB
derivative in Hypothesis B may be positive. Hypotheses C and D relate to the second stage.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-03.pdf
Promoting Liquidity: Why and How?
2 Dec 2009
RDP
PDF
484KB
Structured finance products and many derivatives typically trade OTC because of their inherent idiosyncratic features. ... Therefore, it is no surprise that structured financial products and many derivatives typically trade in OTC markets.
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-06.pdf
Some Structural Causes of Japan’s Banking Problems
1 Dec 2009
RDP
PDF
296KB
This redeposit isknown as a compensating balance, or derivative deposit. It inflates the cost ofcapital to final borrowers by an amount equal to the spread of lending over depositrates, multiplied by ... 30. 40. %. (RHS)Total deposits. Compensating
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-03.pdf
Loan Rate Stickiness: Theory and Evidence
31 Jan 2006
RDP
PDF
819KB
When the industry moves away from perfect competition this derivative typically becomes less than one. ... The derivative of price with respect to m a r p a l cost is given by:. [
https://www.rba.gov.au/publications/rdp/1992/pdf/rdp9206.pdf