05777oam 22010814 450 991081096550332120240402023459.01-4623-4872-61-4518-7116-397866128420921-4527-3091-11-282-84209-9(CKB)3170000000055149(SSID)ssj0000944003(PQKBManifestationID)11944102(PQKBTitleCode)TC0000944003(PQKBWorkID)10982586(PQKB)10619649(OCoLC)762656384(IMF)WPIEE2008258(MiAaPQ)EBC1586708(EXLCZ)99317000000005514920020129d2008 uf 0engurcnu||||||||txtccrCounterparty Risk in the Over-The-Counter Derivatives Market /Manmohan Singh, Miguel Segoviano1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (21 pages) illustrations (some color), tablesIMF Working PapersIMF working paper ;WP/08/258Bibliographic Level Mode of Issuance: Monograph1-4519-1569-1 Includes bibliographical references.Intro -- Contents -- I. Introduction -- II. Definitions and Methodology -- A. Counterparty Risk -- B. Exposure of the Financial System to Counterparty Risk -- C. Distress Dependence in the Financial System and Conditional Probability of Distress of Specific Financial Institutions -- D. Loss Scenarios -- III. Counterparty Risk: Empirical Estimation -- A. Counterparty Risk Exposure -- B. Conditional Probability of Distress of Financial Institutions -- IV. Conclusion and Policy Implications -- References -- Tables -- 1. Default Dependence Matrix -- 2. Distress Dependence Matrix -- 3. Losses Under Alternative Scenarios -- 4. Extrapolated Total Losses Under Alternative Scenarios -- Figures -- 1. Global OTC Derivatives as of December 2007 -- 2. Global OTC Derivatives Market as of December 2007 -- 3. The FinancialSystem's Multivariate Density -- 4. Probability that at Least one Financial Institution Fails to Deliver -- 5. Probability that Exactly one Financial Institution Fails to Deliver -- 6. OTC Derivatives: Notional Amounts as of end of March 2008 -- 7. OTC Derivatives: Counterparty Liabilities as of end of March 2008 -- 8. Probabilities of Distress of Financial Institutions Included in this Study -- 9. Fed's Balance Sheet as of April 23, 2008 -- Box -- 1. Distress Dependence.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.IMF Working Papers; Working Paper ;No. 2008/258Derivative securitiesEconometric modelsOver-the-counter marketsEconometric modelsRiskEconometric modelsBanks and BankingimfFinance: GeneralimfMoney and Monetary PolicyimfGeneral Financial Markets: General (includes Measurement and Data)imfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinanceimfMonetary economicsimfBankingimfDerivative marketsimfOver-the-counter marketsimfCredit default swapimfCreditimfDerivative securitiesimfFinancial instrumentsimfBanks and bankingimfUnited StatesimfDerivative securitiesEconometric models.Over-the-counter marketsEconometric models.RiskEconometric models.Banks and BankingFinance: GeneralMoney and Monetary PolicyGeneral Financial Markets: General (includes Measurement and Data)Monetary Policy, Central Banking, and the Supply of Money and Credit: GeneralBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinanceMonetary economicsBankingDerivative marketsOver-the-counter marketsCredit default swapCreditDerivative securitiesFinancial instrumentsBanks and banking332.645Singh Manmohan1631304Segoviano Miguel1607298DcWaIMFBOOK9910810965503321Counterparty Risk in the Over-The-Counter Derivatives Market4070670UNINA