Yield curve and spread decomposition
Government yields are split into expected short rates and term premia with affine term structure models, and credit spreads into expected loss and risk premia, so a repricing can be read by its source.
GRA · Capital Markets Nexus
Spatial financeWhere capital meets hazard, exposure and transition
Financial economics for capital markets
Financial economics explains how prices, risk premia and balance sheets turn shocks into market moves. In capital markets it is used to decompose yields and spreads, to model how leverage and margin amplify selling, and to trace how stress in one asset class reaches others, with each estimate’s assumptions and label stated.
01Qeyd
Financial economics for capital markets on the record.
Method recordSTEM method
- RêbazAboriya fînansî û makro-fînans
- ParêzvanAramiya darayî
- Applied inCapital Markets Nexus
- Dane4 inputs
- Checks3 validation steps
- Canonical pageSTEM Commons
02Serlêdan
What financial economics and macro-finance does here.
Financial economics and macro-finance study how asset prices, credit and financial institutions interact with the real economy. They explain how shocks are amplified or absorbed through balance sheets and markets. In capital markets and investment and financial stability, financial economics traces how physical, health or cyber shocks transmit to credit, sovereign debt and markets. It informs macroprudential policy and the pricing of risk. The canonical description is on the STEM Commons.
Leverage and fire-sale channels
Balance sheet models trace how a price fall raises margins and haircuts, forces sales by leveraged holders and pushes prices further, with the behavioural assumptions written down.
Market-based systemic risk measures
Measures such as conditional value at risk and marginal expected shortfall describe which institutions contribute most to system-wide stress, reported as estimates with their sample periods.
03Exposure, loss and capital
What financial economics for capital markets means for exposure, loss and capital.
The exposure, loss, scenario and capital views a risk officer, supervisor or ministry of finance would ask for, with the frameworks they report against. Structures follow supervisory and actuarial practice. Values are illustrative: never prices, ratings or advice.
Capital, solvency and fiscal indicators
The indicators a risk officer, supervisor or ministry of finance reads first on financial economics for capital markets.
| Indicator | Unit | Who reads it | Framework |
|---|---|---|---|
| CET1 ratio | % of risk-weighted assets | Banks, supervisors | Basel framework |
| Liquidity coverage ratio | % of stressed outflows | Banks, central banks | Basel framework |
| Solvency ratio | % of solvency capital requirement | Insurers, supervisors | IAIS Insurance Core Principles |
| Combined ratio | % of earned premium | Insurers | Actuarial practice |
| Protection gap | uninsured share of economic loss | Insurers, ministries of finance | Published loss statistics |
| Public debt | % of GDP | Ministries of finance, IMF | Debt Sustainability Framework |
| Gross financing needs | % of GDP per year | Ministries of finance, investors | Debt Sustainability Framework |
NGFS climate scenarios · Network for Greening the Financial SystemIFRS S2 Climate-related Disclosures · ISSBTCFD recommendations · Financial Stability Board TCFDPrinciples for the effective management of climate-related financial risks · Basel Committee on Banking Supervision
04Dane
What the method consumes.
Datasets and records used by financial economics and macro-finance on this platform, with the role each plays and the label its values carry. Sources are listed in the source register.
| Dane | Rol | Nîşan |
|---|---|---|
| Government bond yields and swap rates | Yield curve and term premium estimation | ÇAVDÊRÎKIRÎ |
| Corporate bond prices and spreads | Credit spread decomposition | ÇAVDÊRÎKIRÎ |
| Financial accounts by sector | Sector balance sheets and leverage | Statîstîkên weşandî |
| Equity returns of financial institutions | Market-based xetera pergalî measures | ÇAVDÊRÎKIRÎ |
05Pêvajo
Pêvajo çawa dimeşe.
Process explorer · Process
Financial economics for capital markets: PRISMA 2020 review reporting
10 steps·4 qonax
Pêvajo
Financial economics for capital markets: PRISMA 2020 review reporting
PRISMA 2020 is a reporting guideline for systematic reviews; the steps follow its checklist, not a mandated sequence, and no Nexus document adopts it.
01 Plan
- 01Registration and protocolRecord · The review teamThe guideline asks for registration details, access to the protocol and any amendments.
- 02Eligibility criteriaRecord · The review teamThe guideline asks for the inclusion and exclusion criteria and how studies were grouped.
02 Find and select
- 03Search: sources and strategiesStep · The review teamThe guideline asks for the information sources and the full search strategies. It does not fix which sources are used.
- 04Selection of studiesStep · The review teamThe guideline asks how studies were judged eligible, including how many reviewers screened. It does not fix the number of reviewers.
- 05Flow diagramTomarThe flow diagram shows the number of records found, the number of studies included and the reasons for exclusion.
03 Analyse
- 06Data collectionStep · The review teamThe guideline asks how data were collected from reports and which data items were sought.
- 07Risk of biasStep · The review teamThe guideline asks for the methods and tools used to assess risk of bias.
- 08SynthesisModel · The review teamThe guideline asks for the effect measures and the synthesis methods. It does not prescribe meta-analysis.
- 09Bawerî bi delîlanStep · The review teamThe guideline asks for the methods used to assess certainty, and reports the result per outcome. It does not name a grading scale.
04 Report
- 10Review reportTomarThe guideline helps authors report why the review was done, what they did and what they found.
rêzeya Pergalên StratejîkOutline of an externally published reporting guideline, not a Nexus process and not a record of operation. PRISMA 2020 mainly covers reviews of intervention effects. No Nexus page names it. Every programme is at service level R0.
06Erêkirin
How results are checked.
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| Kontrol bikin | How it is done |
|---|---|
| Out-of-sample stress testing | Models are fitted on one period and tested on stress episodes not used in estimation |
| Specification comparison | Term premium and spread decompositions are compared across model specifications and the range is reported |
| Reconciliation with supervisory data | Market-based estimates are compared with published supervisory aggregates where they exist |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
07Connections
Topics that rely on this method.
08Stewardship
Who maintains the method.
Aramiya darayî stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
09Girêdayî
Ev rûpel li ser Konsorsiyûmê te ber bi kû ve dibe.
10Pirs
Pirs û bersiv.
What are the limits of financial economics and macro-finance in this field?
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
How are results checked?
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
Are the values on this page real?
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
Where else is this method applied?
rêzeya Pergalên StratejîkTevkarî bike
Ji vê rûpelê delîl bidin.
Reports is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
Global Risks AllianceCapital Markets NexusXetere û berxwedana sektorî ya cîhanîSenaryo û ceribandina stresê
- E-nameGateway GW-GRAJi vê rûpelê bişîninDelîl, rastkirin, doz, rêbaz, nirxandin, wergerandin an têketina profîlê. Bi nîşana vê rûpelê digihîje, ji ber vê yekê edîtorê xwediyê wê wê bistîne.
- ZenodoDepoya vekirîWê razînin û ji civakê re bişîninTomara xwe li Zenodo bi ORCID iD ya xwe biweşînin, paşê wê li wir ji civaka Reports re bişînin. Kurator wê vedikolin; DOI ya we dimîne.
- rêzeya Pergalên StratejîkGlobal Risks AllianceHemû rêyên beşdariyê bibîneCureyên beşdariyê, her yek çawa tê nirxandin, tu çi navlêkirinê distînî, lîsans û tiştê ku qet nayê qebûlkirin.
Tu carî daneyên şexsî, hûrgiliyên binesaza hesas an tiştekî ku mafê we yê parvekirinê tune ne neşînin. Beşdarî berî bikaranînê tê nirxandin; şandina wê nivîskarî an mafên edîtorî nade û sponsorî tu carî encamekê nakire.
Capital Markets Nexus
Bring an exposure or capital question to the Alliance.
Agahî û pirs îro vekirî ne. Pirsek referansekê distîne û gava piştî wê dide nasîn; serlêdan, drav, veqetandina hesabkirinê û tomarkirin tenê dema ku tîm, mercên wê û kapasîteya vekolînê hebin vedibin.
Hiqûqî
Belgeyên hiqûqî.
Nexşe, dane û jimarên vê malperê ji bo çarçoveyê û agahiyên giştî têne nîşandan. Ew ne şîret, ne pêşbînî û ne hişyarî ne; sînorên agahiyê di Daxuyaniyên Berpirsiyariyê û Daxuyaniyên Daneyê de hatine diyarkirin.