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The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / / Li Ong, Jorge Chan-Lau



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Autore: Ong Li Visualizza persona
Titolo: The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / / Li Ong, Jorge Chan-Lau Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
Edizione: 1st ed.
Descrizione fisica: 1 online resource (27 p.)
Soggetto topico: Credit derivatives - Great Britain
Derivative securities - Great Britain
Banks and Banking
Investments: Derivatives
Money and Monetary Policy
Industries: Financial Services
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Pension Funds
Non-bank Financial Institutions
Financial Instruments
Institutional Investors
Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure
Value of Firms
Goodwill
Banks
Depository Institutions
Micro Finance Institutions
Mortgages
Monetary economics
Finance
Financial services law & regulation
Banking
Credit
Credit risk
Insurance companies
CDOs
Financial risk management
Banks and banking
Derivative securities
Soggetto geografico: United Kingdom
Altri autori: Chan-LauJorge  
Note generali: "June 2006".
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: ""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""
Sommario/riassunto: 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.
Titolo autorizzato: The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions  Visualizza cluster
ISBN: 1-4623-3971-9
1-4527-3299-X
1-283-51751-5
9786613829962
1-4519-0918-7
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910815302303321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: IMF Working Papers; Working Paper ; ; No. 2006/139