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Record Nr. |
UNINA9910788342503321 |
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Autore |
Singh Manmohan |
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Titolo |
Counterparty Risk in the Over-The-Counter Derivatives Market / / Manmohan Singh, Miguel Segoviano |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-4872-6 |
1-4518-7116-3 |
9786612842092 |
1-4527-3091-1 |
1-282-84209-9 |
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Descrizione fisica |
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1 online resource (21 pages) : illustrations (some color), tables |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/258 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Derivative securities - Econometric models |
Over-the-counter markets - Econometric models |
Risk - Econometric models |
Banks and Banking |
Finance: General |
Money and Monetary Policy |
General Financial Markets: General (includes Measurement and Data) |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Finance |
Monetary economics |
Banking |
Derivative markets |
Over-the-counter markets |
Credit default swap |
Credit |
Derivative securities |
Financial instruments |
Banks and banking |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Sommario/riassunto |
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The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one or more banks or primary broker-dealers. We then stress the importance of "netting" within the OTC derivative contracts. Our methodology shows that, even using data from before the worsening of the crisis in late Summer 2008, the potential cascade effects could be very substantial. We summarize our results in the context of the stability of the banking system and provide some policy measures that could be usefully considered by the regulators in their discussions of current issues. |
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