DERIVATIVE LOGIC AND THE BANKING SYSTEM
Wojciech M. LIS
Ruprecht von HEUSINGER
Abstract
This paper tries to develop a fresh view of what it means to analyze the banking system. We use modern finance theory to disentangle the obvious. The view we put forward is suggestive and the idea is that by disentangling the language and transforming it into a language of finance, we realize what the liability side of a banks balance sheet consists of. In order to get going, we have to review both, the Merton model and the put-call parity. The technical details are less important than the generał idea of what they convey [Merton, 1974].
References
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Kolb R. W., Futures, Options and Swaps, 3rd edition, Oxford: Blackwell, 2000.
Merton R. C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, in: Journal of Finance, 29, 1974.
Crouhy M., Galai D., Mark R., Risk Management, New York: McGraw-Hill, 2001.
Kolb R. W., Futures, Options and Swaps, 3rd edition, Oxford: Blackwell, 2000.
Merton R. C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, in: Journal of Finance, 29, 1974.
LIS, W. M., & von HEUSINGER, R. (2020). DERIVATIVE LOGIC AND THE BANKING SYSTEM. Economic and Environmental Studies, 10, 173–183. Retrieved from https://czasopisma.uni.opole.pl/index.php/ees/article/view/3152
Authors
Wojciech M. LISAuthors
Ruprecht von HEUSINGERStatistics
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