IOTC market kunye nomngcipheko ibhanki ngayo kwendlao kwi bume macroeconomic

Imarike iOTC yi icandelo ebalulekileyo imisebenzi beebhanki, ingakumbi kwinqanaba soqoqosho. Njengoko kwakunye kwimarike zemali, loo nto isakhiwo multi-into enzima, apho kukuvela iingozi amatyala kakhulu phezulu. Xa simulating sifunda correlations ngokusilela olufumanekayo ixabiso eliphambili asethi yebhanki kulo mkhuba ngamazwe ekuvavanyeni amathuba engagqibekanga ndlela isetyenziswa ngokubanzi mathuba ipotifoliyo, nto leyo eyaziwa njenge-asethi-value ndlela. Ngaphezu koko zingasetyenziswa kunye nendlela okuba iphezulu (indlela okuba maximum).

IOTC market kunye neempawu zayo, loo nto ixela ukuba ukumiselwa amathuba yonyaka kolwazi engagqibekanga efunekayo ngolu hlobo lulandelayo:

1. Inani kwiibhanki zorhwebo ekuqaleni konyaka wekhalenda ngamnye ukulungiselela ixesha elifunekayo;

2. Inani kwiibhanki zorhwebo, obubonakala ngokuba yincwadi evuliweyo ubunyani olungagqibekanga, ezizezi ukuvalwa elandelayo ngokususela nezigqibo zeenkundla ephezulu ukutshona ibhanki yorhwebo ukuze amise okanye akubhangise mvume ngokunxulumene ibiya olandelayo, kwakunye kufakwa ibango enkundleni ukwenzela ukuqaphela lebhanki ongenamali.

Ukubalwa kwisithuba ngexesha rates engagqibekanga kwiibhanki zorhwebo t lilingana nenani izinketho ezizenzekelayo xa kungacaciswanga, lahlulwe ngenani ubuninzi olungagqibekanga, kwaye sichazwa ngokuthi ifomula:

(Do {Impindezelo-1)) / 2 _ Ingaba (Yenza-l) P (Not (Nt-1)) / 2 "Akukho (Nt-1) P. 106L,

apho: p2av - Amathuba yonyaka engagqibekanga kuyo nayiphi na inkqubo enye kwibhanki zorhwebo. Kwangaxeshanye ingaphela yempembelelo yezinto zangaphakathi nangaphandle ze nokusebenza kwenkqubo yogcino kurhwebo kwaye uthathe ingqalelo kuphela factor lwempembelelo, nto leyo ibonisa inani beebhanki, obubonakala ngokuba yincwadi evuliweyo ubunyani emiselweyo; Dt- linani lweziqalelo, eziye zanikwa iwonga engagqibekanga kangangexesha elikhethiweyo sexesha t; NT - inani kweebhanki ukusebenza ngexesha ixesha t ekhethiweyo; t - lekhefu lonyaka omnye wekhalenda.

Amathuba yoNyaka amaxabiso olungagqibekanga kufuneka kuthelekiswa ekhethiweyo parameters macro -bume (ngamanye amazwi, okuthetha imarike iOTC okanye market yequmrhu izibambiso) ukuseka ubukho umsebenzi parameter nganye ezinga malungu. Ubukho uxhomekeke liya hypothesis kubukho kanye unxibelelwano phakathi ukuvalwa neebhanki zorhwebo kunye tshintsho luza kwenzeka kule medium, yaye emva koko, ngokusekelwe yabaxwa i equation kwakhiwa ukuqikelela Izakutshintsha kwakhona kwezibonisi zoqoqosho ezikhethiweyo, utshonile ngombandela ukutshintsha imali kwiibhanki zorhwebo.

The degree of unxulumano phakathi amathuba yonyaka emiselweyo kunye macro medium luphawu lo lomlingani ukuhlanganisa, ukuba kuluhlu elilinganayo okanye ukusuka -1 ukuya +1, kunokwenzeka ukuba bathethe ubudlelwane parameter nganye ezinga malungu phakathi kwemiqolo ezimbini data ekhethekileyo.

indawo kuqoqosho, States wabonakalisa inani olungenasiphelo yemida, kodwa ngoku asinamdla kuphela ezo yomgama ukuhlehla uxhomekeko amathuba zonyaka lwefayile, nako ukubonisa ekuhlambululeni olu lingelo thina. Kufuneka kuqatshelwe ukuba uninzi izikhombisi zoqoqosho babe nolwalamano unxulumano kunye Amathuba yonyaka olungagqibekanga, nangona kunjalo, imarike iOTC yenzelwe ngendlela yokuba nobuhlobo obunjalo kukuba iveza, kwaye njalo ubukho bayo ibe ezikhathazayo.

Olu hlahlelo icebisa ukuba phakathi umlinganiselo enjalo, njengoko amathuba yonyaka emiselweyo kunye nokusingqongileyo soqoqosho, kukho ngokucacileyo wavakalisa ubudlelwane imbangela. Ngoko ke, ukuvalwa kwiibhanki zorhwebo ngenxa yokwehla neemali zangaphandle, zibekwe ngamaziko credit kwamanye amazwe, nto leyo kabi indawo yotyalo-mali kwaye kukhokelela ekwandeni ubungakanani ngetyala yangaphakathi net urhulumente.