LEADER 05605oam 22012974 450 001 9910815302303321 005 20240410162725.0 010 $a1-4623-3971-9 010 $a1-4527-3299-X 010 $a1-283-51751-5 010 $a9786613829962 010 $a1-4519-0918-7 035 $a(CKB)3360000000443922 035 $a(EBL)3014470 035 $a(SSID)ssj0000943301 035 $a(PQKBManifestationID)11523891 035 $a(PQKBTitleCode)TC0000943301 035 $a(PQKBWorkID)10975529 035 $a(PQKB)11310736 035 $a(OCoLC)694141142 035 $a(IMF)WPIEE2006139 035 $a(MiAaPQ)EBC3014470 035 $a(EXLCZ)993360000000443922 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions /$fLi Ong, Jorge Chan-Lau 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (27 p.) 225 1 $aIMF Working Papers 300 $a"June 2006". 311 $a1-4518-6399-3 320 $aIncludes bibliographical references. 327 $a""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"" 330 3 $aThe increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually pose problems for financial sector stability in the event of a major negative shock to credit markets. This paper attempts to quantify the exposure of major U.K. financial groups to credit derivatives, by applying a vector autoregression (VAR) model to publicly available market prices. Our results indicate that use of credit derivatives does not pose a substantial threat to financial sector stability in the United Kingdom. Exposures across major financial institutions appear sufficiently diversified to limit the impact of any shock to the market, while major insurance companies are largely exposed to the "safer" senior tranches. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/139 606 $aCredit derivatives$zGreat Britain 606 $aDerivative securities$zGreat Britain 606 $aBanks and Banking$2imf 606 $aInvestments: Derivatives$2imf 606 $aMoney and Monetary Policy$2imf 606 $aIndustries: Financial Services$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aMonetary economics$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aBanking$2imf 606 $aCredit$2imf 606 $aCredit risk$2imf 606 $aInsurance companies$2imf 606 $aCDOs$2imf 606 $aFinancial risk management$2imf 606 $aBanks and banking$2imf 606 $aDerivative securities$2imf 607 $aUnited Kingdom$2imf 615 0$aCredit derivatives 615 0$aDerivative securities 615 7$aBanks and Banking 615 7$aInvestments: Derivatives 615 7$aMoney and Monetary Policy 615 7$aIndustries: Financial Services 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aMonetary economics 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aBanking 615 7$aCredit 615 7$aCredit risk 615 7$aInsurance companies 615 7$aCDOs 615 7$aFinancial risk management 615 7$aBanks and banking 615 7$aDerivative securities 700 $aOng$b Li$01660797 701 $aChan-Lau$b Jorge$01617704 712 02$aInternational Monetary Fund.$bMonetary and Financial Systems Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910815302303321 996 $aThe Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions$94087739 997 $aUNINA