05804oam 22013814 450 991097247480332120250426110948.09786613829962978146233971614623397199781452732992145273299X9781283517515128351751597814519091801451909187(CKB)3360000000443922(EBL)3014470(SSID)ssj0000943301(PQKBManifestationID)11523891(PQKBTitleCode)TC0000943301(PQKBWorkID)10975529(PQKB)11310736(OCoLC)694141142(IMF)WPIEE2006139(MiAaPQ)EBC3014470(IMF)WPIEA2006139WPIEA2006139(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".9781451863994 1451863993 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 BritainBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital and Ownership StructureimfCdosimfCredit riskimfCreditimfDepository InstitutionsimfDerivative securitiesimfFinanceimfFinancial InstrumentsimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfGoodwillimfIndustries: Financial ServicesimfInstitutional InvestorsimfInsurance companiesimfInvestments: DerivativesimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMortgagesimfNon-bank Financial InstitutionsimfPension FundsimfValue of FirmsimfUnited KingdomimfCredit derivativesDerivative securitiesBankingBanks and BankingBanks and bankingBanksCapital and Ownership StructureCdosCredit riskCreditDepository InstitutionsDerivative securitiesFinanceFinancial InstrumentsFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyGoodwillIndustries: Financial ServicesInstitutional InvestorsInsurance companiesInvestments: DerivativesMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMortgagesNon-bank Financial InstitutionsPension FundsValue of FirmsOng Li1804802Chan-Lau Jorge1815656International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910972474803321The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions4371309UNINA