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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Box B: The ABX.HE Credit Default Swap Indices
10 Mar 2008
FSR
– March 2008
sustained on the underlying RMBS, which is prompting some to question the use of these indices in valuation models. ... Those questioning the use of ABX.HE indices in valuation models have also focused on the fact that the indices capture only a very
https://www.rba.gov.au/publications/fsr/2008/mar/box-b.html
Box A: Financial Guaranty Insurers (Monolines)
10 Mar 2008
FSR
– March 2008
The cornerstone of the FGI business model has been their high credit ratings – typically AAA – since this underpins the value of the insurance, or credit protection, provided to investors.
https://www.rba.gov.au/publications/fsr/2008/mar/box-a.html
Box C: Equity Raisings and Company Gearing
10 Sep 2009
FSR
– September 2009
Geared companies that are comfortable with their leverage : Some companies have been able to sustain business models involving a high gearing ratio due to more stable cash flows, in general, than ... current circumstances or the sustainability of their
https://www.rba.gov.au/publications/fsr/2009/sep/box-c.html
Box D: Stress Testing at the Reserve Bank
20 Oct 2017
FSR
– October 2017
The remainder of this box outlines the current state of the Reserve Bank's model. ... Table D1: Variables in Stress-testing Framework. Pre-specified outside of the model.
https://www.rba.gov.au/publications/fsr/2017/oct/box-d.html
Box B: The Global Reinsurance Industry
10 Sep 2011
FSR
– September 2011
Some aspects of reinsurers' business models make it less likely that they will suffer financial distress compared with banks. ... Reinsurance cover plays an important role in the business models of Australian general insurers, as well as the Australian
https://www.rba.gov.au/publications/fsr/2011/sep/box-b.html
Box A: Foreign-owned Bank Activity in Australia
10 Mar 2012
FSR
– March 2012
This difference in business models is evident in the allocation of assets: the bulk of branches' assets are in commercial loans and securities, while the largest share of subsidiaries' assets are
https://www.rba.gov.au/publications/fsr/2012/mar/box-a.html
Box C: Global Systemically Important Banks
10 Mar 2012
FSR
– March 2012
In addition, Australian banks, with their business models oriented to commercial and retail banking, are less interconnected with the rest of the global financial system than are many of the
https://www.rba.gov.au/publications/fsr/2012/mar/box-c.html
Overview
10 Sep 2012
FSR
– September 2012
Weak property market conditions and the financial market and regulatory pressures on certain bank business models are continuing to weigh on the outlook for many large banks.
https://www.rba.gov.au/publications/fsr/2012/sep/overview.html
The Global Financial Environment
8 Apr 2022
FSR
– April 2022
The European Central Bank (ECB) has increased overall capital requirements marginally for banks in the euro area, and reiterated concerns over some banks' internal governance, risk management, business models or capital
https://www.rba.gov.au/publications/fsr/2022/apr/global-financial-environment.html
Financial Intermediaries
10 Sep 2005
FSR
– September 2005
Based on the latest half year results, the average daily value-at-risk (VaR) for the four largest banks was equivalent to 0.04 per cent of shareholders' funds, which is
https://www.rba.gov.au/publications/fsr/2005/sep/fin-intermed.html