LEADER 05777oam 22010814 450 001 9910810965503321 005 20240402023459.0 010 $a1-4623-4872-6 010 $a1-4518-7116-3 010 $a9786612842092 010 $a1-4527-3091-1 010 $a1-282-84209-9 035 $a(CKB)3170000000055149 035 $a(SSID)ssj0000944003 035 $a(PQKBManifestationID)11944102 035 $a(PQKBTitleCode)TC0000944003 035 $a(PQKBWorkID)10982586 035 $a(PQKB)10619649 035 $a(OCoLC)762656384 035 $a(IMF)WPIEE2008258 035 $a(MiAaPQ)EBC1586708 035 $a(EXLCZ)993170000000055149 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCounterparty Risk in the Over-The-Counter Derivatives Market /$fManmohan Singh, Miguel Segoviano 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (21 pages) $cillustrations (some color), tables 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/258 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-4519-1569-1 320 $aIncludes bibliographical references. 327 $aIntro -- 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. 330 3 $aThe financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one or more banks or primary broker-dealers. We then stress the importance of "netting" within the OTC derivative contracts. Our methodology shows that, even using data from before the worsening of the crisis in late Summer 2008, the potential cascade effects could be very substantial. We summarize our results in the context of the stability of the banking system and provide some policy measures that could be usefully considered by the regulators in their discussions of current issues. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/258 606 $aDerivative securities$xEconometric models 606 $aOver-the-counter markets$xEconometric models 606 $aRisk$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aBanking$2imf 606 $aDerivative markets$2imf 606 $aOver-the-counter markets$2imf 606 $aCredit default swap$2imf 606 $aCredit$2imf 606 $aDerivative securities$2imf 606 $aFinancial instruments$2imf 606 $aBanks and banking$2imf 607 $aUnited States$2imf 615 0$aDerivative securities$xEconometric models. 615 0$aOver-the-counter markets$xEconometric models. 615 0$aRisk$xEconometric models. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aMoney and Monetary Policy 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinance 615 7$aMonetary economics 615 7$aBanking 615 7$aDerivative markets 615 7$aOver-the-counter markets 615 7$aCredit default swap 615 7$aCredit 615 7$aDerivative securities 615 7$aFinancial instruments 615 7$aBanks and banking 676 $a332.645 700 $aSingh$b Manmohan$01631304 701 $aSegoviano$b Miguel$01607298 801 0$bDcWaIMF 906 $aBOOK 912 $a9910810965503321 996 $aCounterparty Risk in the Over-The-Counter Derivatives Market$94070670 997 $aUNINA