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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Demand in the Repo Market: Indirect Perspectives from Open Market Operations from 2006 to 2020
24 May 2024
RDP
2024-03
If you make use of any of these files you should clearly attribute the authors in any derivative work.
https://www.rba.gov.au/publications/rdp/2024/2024-03/read-me.html
The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
30 May 2022
Research Workshop
PDF
805KB
RBA Workshop 2022
https://www.rba.gov.au/publications/workshops/research/2022/pdf/rba-workshop-2022-read.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
The Determinants of Mortgage Defaults in Australia – Evidence for the Double-trigger Hypothesis
22 Jul 2020
RDP
2020-03
may be a function of N. i,t. and the derivative in Hypothesis B may be positive.
https://www.rba.gov.au/publications/rdp/2020/2020-03/full.html
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Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
In effect, the identification strategy is the same as estimating a VAR with economic activity, consumer sentiment and news sentiment to consider the partial derivatives of the activity indicators at various
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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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
Results
31 Dec 2005
RDP
2005-04
Finally, it has the property that. when this derivative is evaluated at. ,
https://www.rba.gov.au/publications/rdp/2005/2005-04/results.html
The Consequences of Low Interest Rates for the Australian Banking Sector
19 Dec 2022
RDP
PDF
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
Appendix A: The Affine Term Structure Model
27 Feb 2018
RDP
2018-02
N(0,I. N. ). Now denote the Raydon-Nikodym derivative, which converts the risk-neutral measure to the real-world measure, by ξ. ... for λ. 0. a vector and λ. 1. a matrix, and that the Raydon-Nikodym derivative linking the real-world and risk-neutral
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-a.html
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Appendix B: Estimator Accuracy
14 Feb 2018
RDP
2018-01
T. x, then for a given core size the derivative of the error sum with respect to x is:. ... Since d. C. > d. O. > d. P. (Assumption 3), the above derivative is greater than zero.
https://www.rba.gov.au/publications/rdp/2018/2018-01/appendix-b.html
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