| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |

Americans are Europeans in Disguise

Marți, 4 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Ciprian Necula

ASE București, ciprian.necula@fin.ase.ro
Abstract:

In this paper, we prove, in the context of the Black-Scholes model, that the price of the American put option in the continuation region is equal to that of a European option with an equivalent payoff. The result can be extended to other one-dimensional models with continuous paths, and to models with jumps, but only when there are no jumps in the exercise region. We also develop a numerical procedure to approximate the equivalent European payoff and we conduct a numerical experiment spanning a wide range of parameters of the Black-Scholes model and contract characteristics. Overall, the method produces American option prices with a relative RMSE close to 0.001% compared to a benchmark.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: Bistro La Taifas


Asymmetric effects of borrower-based measures on household access to finance and default

Marți, 11 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Radu Popa

BNR și ASE București
Abstract:

Using a rich micro dataset which combines credit registry data with household income records, our paper aims to capture the consequences in terms of access to finance and default determined by the implementation of macroprudential borrower – based measures. Results for the Romanian banking sector reveal that releasing hard LTV and DSTI limits in 2007 encouraged riskier foreign currency lending, both at the extensive, as well as at the intensive margin, favoring those with higher incomes to a greater extent. The quality of loans issued declined compared with the period when LTV and DSTI limits were in place, with low-income debtors experiencing the largest declines. In contrast, the reinstatement of hard-LTV limits in 2011 boosted lending in local currency and did not impede access to finance for medium and low-income borrowers. Using a counterfactual analysis, we prove that the introduction of the LTV limit led to a 20 percent improvement compared to the absence of the measure for mortgage loans. The introduction of a maturity cap for consumer loans did not impact payment discipline for secured consumer loans, however its introduction led to a 10 percent reduction in the average probability of default for unsecured consumer loans, with low income borrowers experiencing the strongest benefits.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: TBD


Do Monetary Policy Shocks Impact the Network Structure of Financial Markets?

Marți, 18 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Petre Caraiani

IPE și ASE București
Abstract:

Monetary policy shocks are known to affect financial markets. However, it is less clear how a monetary policy shock can affect their network structure. We estimate daily total connectedness and net connectedness for 10 industry portfolio indices based on intraday data. Using event-based regressions, we show that total connectedness is positively influenced by surprise changes in the interest rates. Net connectedness of some industry indices is also influenced, some in a positive, while others in a negative direction, revealing how monetary policy shocks propagate through the stock market network at a high-frequency level. The results point to the sectoral differences in the propagation of the monetary policy shocks.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 25 Octombrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Dragota Mihaela

ASE București
Abstract:

TBA

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: TBD


Climate Risk Impact on Treasury Securities Pricing: Global and Long-term Perspectives

Marți, 1 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Iustina Boitan

ASE București
Abstract:

We extend the analysis of the Treasury debt market determinants by empirically investigating the impact of climate change risk on the pricing of Treasury securities across 102 countries around the world. The study takes advantage of a new dataset of climate change proxies that spans over four decades. We distinguish between physical and transitional risk, and investigate both short- and long-term securities. We find that, on average, investors react to government commitments for combating climate change and take into consideration the average level of “brownness” of the economy, i.e. the total amount of CO2 emitted per unit of production. The results also show that concrete government policies aimed at directly combating climate change also matter for sovereign security prices. Overall, countries can borrow at lower costs if they participate in global climate initiatives, enact legislation to favor the transition to green energy, or allocate more of the total budget expenditures to fighting against climate change.

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz09
Activitate de socializare: Începând cu ora 18:00: TBD

TBA

Marți, 8 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Robert Grecu

BNR și ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz10
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 15 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Radu Ciobanu

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz11
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 22 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Dragota Victor

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz12
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 29 Noiembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

TBA

Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz13
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 6 Decembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Anghel Dan Gabriel

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz14
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 13 Decembrie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Tilica Elena

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz15
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 10 Ianuarie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Codrut Ivascu

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz16
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 17 Ianuarie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Andreea Stoian

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz17
Activitate de socializare: Începând cu ora 18:00: TBD


TBA

Marți, 24 Ianuarie 2022 – ora 17:00 – sala 3M3 (etaj 1, clădirea Moxa)

Razvan Tataru

ASE București
Zoom: https://ase.zoom.us/j/88297823449?pwd=dXlRYWl2NW9pZHdEKzhMbTF6T1dlZz18
Activitate de socializare: Începând cu ora 18:00: TBD