Accrued Interest

, 130–131

Affordability ratio

, 113

Agency of the Republic of Slovenia for Public Legal Records (AJPES)

, 13

Aggregate demand

, 3, 6, 68, 119, 139, 175

Allowance for Corporate Equity (ACE)

, 92, 98

Altman Z-score model

, 51

Amplifying forces

, 127

Analytical framework

, 32

Analytical tool

, 51

Asset liability management

, 146–147, 172

Asset price bubbles

, 1, 7–8, 10–11, 123

Asset value

, 53–55

Asset volatility

, 54

Asset-backed Securities

, 4, 12, 130, 132

Assets

, 4–7, 9, 15–16, 18

See also Financial assets

Australian housing loan market

, 4

Bank based financial system

, 62, 91–92, 121

Bank deleveraging

, 8, 14, 63, 66, 70–71, 91, 98–99

Bank deposits

, 6, 9, 31, 164, 191

Bank funding

, 9, 14, 81, 102, 117, 163

Bank lending

, 15, 33, 68, 72, 97, 99, 102, 110, 112, 117, 122

Bank loans

, 6, 9, 17–19, 29, 39, 57, 62–63, 69, 74, 81, 82, 83, 90, 99, 108, 117, 119, 121

Banking sector

, 4, 6–9, 13–14, 23, 36, 38, 59–61, 68–69, 87–88, 92, 97, 106, 109, 111–112, 114, 116–118, 121, 136, 159–160

Bankruptcy costs

, 20–21

Bankruptcy models

, 49

Bankruptcy prediction models

, 49, 51

Benchmark Securities

, 135

Bid Price Auction

, 156

BIS data

, 13–14, 94, 96

BIS debt securities statistics

, 14

BIS Quarterly Review

, 14

BIS statistics

, 14

Bolster Financial Stability

, 122

Bond financing

, 14–15, 19–21, 80, 83

Bond valuation technique

, 134

Bond Valuation

, 21, 131

Budget Deficit

, 139–140, 150, 160–161, 167

See also Ricardian equivalence

Bullet Maturity Bond

, 130

Business cycle dynamics

, 3

Business cycles

, 16, 24, 26, 29–30, 70, 81, 97, 109, 114, 162, 177

Callable Bonds

, 130, 134

Capital gains

, 21, 103, 132–133

Capital haemorrhage

, 161

Capital market imperfections

, 22

Capital structure

, 5, 19–22, 33, 35, 41, 45, 47–48, 52–53, 72–73

Capital-intensive industries

, 16, 44

Cash flows

, 39, 43, 62, 92, 101, 108, 131–132, 152, 173, 184

Cash-like liquid assets

, 31

CCA. See Contingent Claims Analysis

CCA-related models

, 53

Central banks

, 7–8, 11, 85, 109, 131, 135, 143–144, 150, 153, 175

Collateral valuations

, 20

Collateralised debt

, 3, 150

Commercial real estate lending

, 106–107, 110, 112

Company risk analysis

, 45

Constant deficit policy

, 167

Construction lags

, 106, 114

Consumer loans

, 8–9, 119, 121

Contagion risks

, 3

Convergence criteria

, 149

Corporate bond issuance

, 62, 70, 72–73, 92

Corporate bond market

, 33, 82, 170

Corporate financial structure

, 69, 89, 98

Corporate Foreign Exchange Rate Exposure

, 52

Corporate ratios

, 32

Corporate sector

, 4–8, 13–16, 18–19, 22–24, 38, 40

Correlation coefficients

, 101

Cost-risk dimension

, 174

Credit card business model

, 2

Credit card debt

, 1

Credit Channel

, 68–70

Credit crunch

, 82, 110, 112, 122, 154

Credit default swaps

, 25, 27

Credit multipliers

, 29

Credit rationing

, 30–31

Credit risk level

, 3

Credit risk

, 2–3, 17, 24–26, 28, 90, 100, 130, 154, 173, 184, 192

Currency crisis models

, 69

Currency risk model

, 52

Currency risk

, 24, 26–28, 33, 52, 62, 67, 68–69, 83, 92, 97, 103, 105, 108, 136, 142, 157, 164, 173, 177, 180, 183–184

Current account deposits

, 6

See also Bank deposits

Customer account receivables

, 25

Czech Capital Information Agency

, 13

Debt analysis

, 92

Debt currency risk

, 173

Debt Instruments

, 14, 67, 134–137, 145, 152, 156, 160, 164–165, 168, 173–174, 178

Debt issuance

, 23, 72, 74, 80, 136, 148, 159–160, 164, 167, 178

Debt Management and Financial Analysis System (DMFAS)

, 151

Debt Management Performance Assessment (DeMPA)

, 178

Debt management

, 129–130, 144–146, 148–149

See also Public Debt Management

Debt portfolios

, 178

Debt redemption profile

, 136, 165, 180

Debt repayment

, 26, 33, 39, 63, 91, 148, 169, 178

Debt Reporting

, 152

Debt security

, 108

Debt Structure

, 57, 91, 157–158, 165, 177

Debt Sustainability Framework (DSF)

, 167–168

Debt-to-equity ratio

, 24, 37–38, 44–45, 48, 64

Declining interest rates

, 1

Default mode

, 4

Default trigger

, 55

See also Distress Barrier (DB)

Degree of Operating Leverage

, 45–48

Deleveraging

Demand and supply forces

Demand deposits. See Bank deposits

Demand side forces

Demarcation line. See Financial stability risk assessment

Distress Barrier (DB)

, 54–56

Dollar-denominated

, 65

Domestic debt levels

, 155

Domestic debt ratio

, 180

Domestic market functions

, 146

Dual-currency Bonds

, 130

Dynamic Stochastic General Equilibrium models

, 166

Economic cycle

, 101, 110, 121, 162

Economy-defaulted households

, 3

Education debt

, 1

Effective interest cost

, 38

Encouraged Set of Financial Soundness Indicators, The

, 110, 112

Equity financing

, 19–22, 24, 34, 98

Equity holders

, 21, 45, 55

Equity holdings

, 7, 109–111, 189

Equity issuance

, 23, 72, 99

Euro area level

, 63

Euro zone

, 154

European Central Bank, The

, 136, 188

European Monetary Union

, 166

European Systemic Risk Board, The

, 104, 106, 108, 111, 113, 121, 126

External funding

, 16, 40, 115, 146

Factor analysis

, 49

Federal Funds rate

, 100, 166

Finance investments

, 40

Financial accelerator

, 10, 20, 68–70, 92, 107, 119, 121–122

Financial assets

, 4, 6, 9, 14, 103, 107, 120, 126, 137, 146, 188

Financial cycles

, 81, 97

Financial innovations

, 1

Financial intermediaries

, 14, 65, 81

Financial intermediation

, 9, 14–15, 99

Financial investments

, 30–32

Financial leverage

, 32, 45, 47–48, 191

Financial literacy levels

, 7, 109

Financial markets

, 1, 14, 22, 33, 49, 64, 80–82, 91, 98–99, 146, 153–154, 165, 174

Financial ratios

, 40–41, 49–50, 52, 54

Financial sector

, 13, 55, 93, 116, 126, 162, 170, 172, 188

Financial stability assessment

, 4, 25, 121–122, 126

Financial Stability Board, The

, 59, 70, 73, 92, 94, 96, 188

Financial stability risk assessment

, 5, 15, 49

Financial stability risks

, 3–4, 35, 97, 104, 110, 123, 148, 159, 176

Financial stability

, 2–6, 8, 10–11, 13–17, 19, 24–25, 27, 32, 34–35

Financial statements

, 13, 40, 49, 56

Financial Vehicle Corporations (FVCs)

, 187

Financing gap

, 40, 146

Fixed Coupon Bonds

, 152

Fixed exchange rate system

, 149

Fixed income arbitrage

, 191

Fixed investments

, 30–32

Fixed Operating Costs

, 46–47

Floating rate bonds

, 152, 157

Flow of funds data

, 36, 57, 89

Foreign currency bond issuance

, 83, 92

Foreign currency composition

, 33

Foreign currency debt

, 26, 33, 138, 157, 172, 175

Foreign economies

, 3

Foreign entity

, 131

Foreign firms

, 16–17, 62

Fraud detection

, 100

Funding instruments

, 108

GDP deflator

, 166

GDP gap

, 9, 14, 113

GDP ratio policy

, 167

Gearing ratio

, 9

Global financial crisis

, 34, 62, 72, 74

Global growth

, 126

Global House Price Index

, 112

Global markets

, 91

Government bond market

, 145–146

Government Debt Management

, 146, 152, 153, 172

Gross operating surplus

, 34, 39

Hedge funds

, 187, 188, 191–193

Hedging activities

, 25, 57

Hedonic price method

, 125

HICP debt relief initiative

, 158

Hierarchical structure

, 21–22

Higher private sector investments

, 29

High-tech firms

, 18

Hodrick—Prescott filter

, 111, 166

Holder-capital gains

, 21

Holistic assessment

, 27, 111

House price valuations

, 125

House price-to-income ratio

, 112

House price-to-rent ratio

, 112–113

Household debt

, 1–6, 8–11, 94, 96, 126

Household sector

, 1–10, 11, 14, 111–116, 118, 120–121

IMF Global Housing Watch

, 112

Impaired loans

, 4

Income quintile

, 11–12

Independent policy instruments

, 123

Indexed Bonds

, 152

Index-linked bonds

, 135

Inflation risk

, 24, 157, 184

Inflation-indexed Bonds

, 131, 135, 153, 157–158, 169, 177

Institutional forces

, 127

Insurance sector

, 5, 111, 120, 156, 188–189

Integrated risk management approach

, 146

Interest Rate Coverage Ratio

, 34

Interest rate risk

, 24, 26–28, 33, 61, 105, 132, 134, 136, 148, 156–157, 163, 165, 173, 180–184

Interest rate shocks

, 27

Interest tax shields

, 20, 34, 98

Intermediary sector

, 1

Internal credit risk assessment system

, 26

Internal funds

, 15, 17, 21–22, 25, 62, 71, 74

International investors

, 20

International Monetary Fund, The (IMF)

, 112, 136, 138, 167

International money markets

, 154

Investment channel

, 61, 120, 174

Investment Policies

, 145

Junk Bonds

, 131

Korean card issuers

, 2, 12

Levels of banks

, 3, 18

Leverage ratio

, 18, 23, 32, 37, 67, 72

Liabilities

, 3, 5, 16, 25, 30, 33

See also Bank loans; Other loans

Liquid assets

, 5, 18, 31, 39, 42, 189–191

Liquidity frameworks

, 25

Liquidity risk management

, 25

Liquidity risk

, 24–25, 27–28, 39, 150, 173, 179

Liquidity shocks

, 18, 91

Liquidity transformation

, 189, 191

Listed firms

, 15–16, 34–35, 92

Loan portfolios

, 1

Loan repayments

, 41, 85

Loanable funds

, 2, 29, 34, 83, 127, 175

Loans portfolio

, 2, 17

Loan-to-value (LTV)

, 123–124

Loan-to-value ratio

, 11, 115, 119, 124

Local banking sector

, 36, 69, 136, 163

Local financial system

, 17

Local firms

, 16

Longer-term financial liabilities

, 33

Long-short equity hedge

, 191

Long-term Capital Management (LTCM)

, 193

Long-term exposures

, 33

Long-term maturity bonds

, 72

Low interest rates

, 2, 4, 35, 61, 66–69, 83, 85, 100, 148–149, 175–176, 181

Low-cost rentals

, 4

LTV computations

, 125

Maastricht Treaty

, 149

See also Convergence criteria

Machine learning techniques

, 49, 51–53

Macro literature

, 24

Macroeconomic activity

, 28, 29

Macroeconomic framework

, 148

Macroeconomic policy framework

, 148, 169

See also Public Debt Management

Macroeconomic risks

, 24, 28

Macroeconomic series

, 30

Macro-financial risks

, 54

Macroprudential policies

, 59–60, 97, 124

Management dividends

, 21

Marginal cost

, 2

Market imperfections

, 22, 160

Market monitors

, 147

Market-based economy

, 61

Market-based financing

, 18, 63

Maturity transformation

, 189, 191

Median price approach

, 124

Metric of profitability

, 29

MiDi database

, 13

Migration crisis

, 156

Millennium Development Goals (MDGs)

, 167

Minimum wages

, 19

Mitigating credit risk mechanism

, 130

Monetary policy

, 3–8, 11–12, 29, 68, 73, 74, 84–85, 97, 100, 115, 118, 122–123, 136, 147–152, 155, 157–158, 162, 166, 168–170, 176

Money supply

, 123, 176

Monocline credit card operations

, 2

Mortgage covered bond

, 108

Mortgage debt

, 1, 4, 121

Mortgage lending

, 107–108, 112, 117, 126

Mortgage market

, 3, 106, 109

See also Monetary policy

Mortgage repayment

, 113

Mortgage-backed securities

, 2–4, 130, 132

Motor vehicles debt

, 1

Multiplayer perceptron model

, 51, 53

Multiple lenders

, 90

Multivariate discriminant model

, 50

Mundell-Fleming model

, 149

Natural Hedging

, 26, 53, 146, 172–173

Net Borrowing

, 40

Net Lending

, 40, 65

Nominal bank credit-to-GDP gap

, 113

Nominal household credit-to-GDP gap

, 113

Nominal real estate price gap

, 111

Non-bank funding

, 14, 102

Non-bank lenders

, 4

Non-bank lending

, 15

Non-financial assets

, 6, 107, 120

Non-financial corporate bond issuance

, 73

Non-financial corporate sector

, 13, 17, 28, 34, 49, 53, 57, 62, 68, 72, 83

Non-financial firms

, 13–14, 30, 33, 61, 67–68, 83

Non-investment grade bonds

, 73, 92

Non-linearity effects

, 91

Non-performing loans

, 3–4, 34, 106, 109–110, 113, 115, 127

NPV. See Net present value

Oligopolistic banking sector structures

, 159

Oligopolistic banking system

, 159

Operating Cash Flow

, 43

Operating profit

, 43

Operational risk

, 24, 173, 184, 192

Optimisation task

, 174

Option pricing theory

, 54

ORBIS database

, 13

Other loans

, 6

Past Debt Crisis Periods

, 161

Asian crisis

, 91, 102, 161

East Asian crisis

, 117

Eurozone debt crisis

, 161

Latin American debt crisis

, 161

Mexican debt crisis

, 161

Russian debt crisis

, 161

Pecking order theory

, 20–22

Personal loans

, 1, 121

Prediction model

, 52

Private capital insurance

, 107

Private sector

, 5, 14, 19, 22, 29, 69–70, 90, 136, 153, 159–161, 164, 172–173, 175, 179

data

, 14

debt

, 14, 69, 71, 90, 175

investments

, 22, 29, 164

pricing

, 179

securities

, 70

share

, 90

Probability of banking crisis

, 69

Probability of defaults (PDs)

, 104

Probit/count data regression models

, 49

Procyclical lending nature

, 110, 125

Productive capital expenditure investments

, 91

Profitability state

, 8, 44

Progressive taxes

, 19

Property investments

, 19

Prudent fiscal policy

, 156

Public debt management

, 129, 144–146, 148–149, 151–152, 157, 161–162, 166–167, 169–172, 174, 177–178, 185

Public Debt Management System

, 151

Public Debt Metrics

, 178

See also Public debt management

Public sector

, 4–5, 7–8, 22–23, 70, 87, 90, 137–138, 140–141, 151, 159–160, 163, 172, 177

Puttable Bonds

, 130

Ratio analysis

, 30, 41

Real economy

, 10, 72, 81, 102, 126, 127, 176

REIT. See Real Estate Investment Trusts

Real estate prices

, 69, 109–115, 117, 121, 126

Recurrent property taxation

, 103

Regression tree

, 51, 53

Regulatory arbitrage

, 187–188, 192

Reinvestment income

, 132–134

Reinvestment Risk

, 132, 134

Repeat-sales method

, 125

Repo transaction

, 150

Representative property method

, 125

Repurchase Agreement

, 150

See also Repo transaction

Residential mortgages

, 106, 110

Return on equity (ROE)

, 190

Reverse Repurchase Agreement

, 150

Ricardian equivalence

, 139, 161

Risk management

, 24–25, 54, 101, 129, 137, 146, 156, 161, 165, 171–172

activities

, 24, 171

approach

, 129, 146

policies

, 167

Risk modelling tools

, 145

Dynamic Stochastic General Equilibrium

, 145, 166

Stochastic simulations

, 145

VaR

, 118, 145

Risk-based minimum capital

, 189

See also Solvency margin

Risk-free interest rate

, 54, 56, 105–106

Rollover risk

, 26–27, 68, 72, 83, 97, 145, 149, 157, 168, 173, 181

Rule-based approach

, 142, 148–149, 155

Rule-based framework

, 145

Secondary market

, 2, 83, 88, 151, 153, 156, 159–160

Securitisation

, 2–4, 118, 126, 188

Selling price

, 46–48

Sensitivity Analysis

, 37, 183

Sensitivity Metrics

, 183

Service-intensive

, 16, 57

Shadow Banking

, 187, 192

Shadow Banking System

, 188–189

Share of Vulnerable Firms

, 40, 100

Short-term debt

, 26–27, 33–34, 37, 54, 62, 68, 91, 156–157, 178, 181, 189

Short-term exposures

, 33

Short-term liabilities

, 5, 25, 189

Short-term values

, 125

Simulation Analysis

, 183

Sinking Fund Provision

, 130

Solid Funding base

, 160

Solvency margin

, 189–190

Solvency ratio

, 9, 32, 40

Solvent Government Debt

, 143

Sovereign liability portfolio

, 156

Special drawing rights (SDRs)

, 136

Special Purpose Vehicle (SPVs)

, 187

Standard of living

, 2, 4

Static trade-off version

, 22

Statistical techniques

, 51

Stipulated maturity periods

, 131

Stock market value

, 37

Stress Testing

, 56, 102, 183

Structural features

, 127

Supply side forces

, 127

Systematic risks

, 24

Systemic shock

, 101

Tax incentives

, 103, 105–106

Taylor rule, The

, 123, 166

Technological innovations

, 2

Third-party investors

, 2

Time deposits

, 6

See also Bank deposits

Total bank liabilities

, 9

Total debt securities

, 14

Total liabilities

, 9, 44, 51, 56, 62, 81, 83, 189, 191

Total Social Financing (TSF)

, 37

Trade credits

, 14, 17–18, 31, 62, 65, 80–81

Transaction-based property taxation

, 103

Treasury bills

, 132, 135, 142, 144, 152–153, 155–156, 161, 163–164, 180

Treasury Bonds

, 135, 161

Under-capitalised banks

, 153

Underwriting standards

, 27

Underwriting

, 25

Uniform Price Auction

, 156

Unlisted firms

, 16, 33, 100

Unsystematic risks

, 24

US bond system

, 133

US subprime crisis

, 2–4, 11, 36, 67, 69–70, 72, 74, 92, 101, 119, 123, 129, 154, 166, 191

Value Creation Model

, 48

Variable cost

, 46–48

Variance-equal weight method

, 49

Volatility of equity

, 54

Vulnerability ratio

, 50

Weak financial intermediation

, 15

WIND dataset

, 13

Working capital

, 17, 42, 51, 72, 99

Worldscope

, 13

Yankee Bonds

, 131

Zero coupon bonds

, 134, 179, 182

Zero lower bound

, 100

Zero reinvestment risk

, 134

Z-score accounting ratio models

, 53

Z-score assessment

, 180