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Record Nr. |
UNINA9910815302303321 |
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Autore |
Ong Li |
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Titolo |
The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / / Li Ong, Jorge Chan-Lau |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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1-4623-3971-9 |
1-4527-3299-X |
1-283-51751-5 |
9786613829962 |
1-4519-0918-7 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (27 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Credit derivatives - Great Britain |
Derivative securities - Great Britain |
Banks and Banking |
Investments: Derivatives |
Money and Monetary Policy |
Industries: Financial Services |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
Goodwill |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Monetary economics |
Finance |
Financial services law & regulation |
Banking |
Credit |
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Credit risk |
Insurance companies |
CDOs |
Financial risk management |
Banks and banking |
Derivative securities |
United Kingdom |
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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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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""Contents""; ""I. INTRODUCTION""; ""II. CREDIT RISK TRANSFER INSTRUMENTS: STRUCTURED CREDIT PRODUCTS AND CREDIT DERIVATIVES""; ""III. INTERLINKAGES ACROSS FINANCIAL INSTITUTIONS""; ""IV. EXPOSURE OF U. K. FINANCIAL INSTITUTIONS TO CREDIT DERIVATIVES""; ""V. REGULATORY AND SUPERVISORY INITIATIVES""; ""VI. CONCLUSION""; ""HOW COLLATERALIZED DEBT OBLIGATIONS (CDOS) WORK""; ""KEY RISK FACTORS IN CREDIT RISK TRANSFER (CRT) MARKETS""; ""REFERENCES"" |
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Sommario/riassunto |
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The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually pose problems for financial sector stability in the event of a major negative shock to credit markets. This paper attempts to quantify the exposure of major U.K. financial groups to credit derivatives, by applying a vector autoregression (VAR) model to publicly available market prices. Our results indicate that use of credit derivatives does not pose a substantial threat to financial sector stability in the United Kingdom. Exposures across major financial institutions appear sufficiently diversified to limit the impact of any shock to the market, while major insurance companies are largely exposed to the "safer" senior tranches. |
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