05605oam 22012974 450 991081530230332120240410162725.01-4623-3971-91-4527-3299-X1-283-51751-597866138299621-4519-0918-7(CKB)3360000000443922(EBL)3014470(SSID)ssj0000943301(PQKBManifestationID)11523891(PQKBTitleCode)TC0000943301(PQKBWorkID)10975529(PQKB)11310736(OCoLC)694141142(IMF)WPIEE2006139(MiAaPQ)EBC3014470(EXLCZ)99336000000044392220020129d2006 uf 0engur|n|---|||||txtccrThe Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions /Li Ong, Jorge Chan-Lau1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (27 p.)IMF Working Papers"June 2006".1-4518-6399-3 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/139Credit derivativesGreat BritainDerivative securitiesGreat BritainBanks and BankingimfInvestments: DerivativesimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfMonetary economicsimfFinanceimfFinancial services law & regulationimfBankingimfCreditimfCredit riskimfInsurance companiesimfCDOsimfFinancial risk managementimfBanks and bankingimfDerivative securitiesimfUnited KingdomimfCredit derivativesDerivative securitiesBanks and BankingInvestments: DerivativesMoney and Monetary PolicyIndustries: Financial ServicesMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillBanksDepository InstitutionsMicro Finance InstitutionsMortgagesMonetary economicsFinanceFinancial services law & regulationBankingCreditCredit riskInsurance companiesCDOsFinancial risk managementBanks and bankingDerivative securitiesOng Li1660797Chan-Lau Jorge1617704International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910815302303321The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions4087739UNINA