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Spain : : Financial System Stability Assessment
| Spain : : Financial System Stability Assessment |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (78 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Financial crises - Spain
Banks and banking - State supervision - Spain Insurance - State supervision - Spain Securities - State supervision - Spain Debt - Spain Debts, External - Spain Economic indicators - Spain Banks and Banking Finance: General Real Estate Industries: Financial Services Financial Risk Management Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation Housing Supply and Markets Financial Crises Banking Finance Property & real estate Economic & financial crises & disasters Commercial banks Stress testing Housing prices Financial sector policy and analysis Financial institutions Financial crises Loans Prices Banks and banking Financial risk management Housing |
| ISBN |
1-4755-3724-7
1-4755-6545-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; Executive Summary; Figures; 1. The Consolidation of the Banking Sector; Tables; 1. High Priority Recommendations; I. Introduction; II. Risks and Vulnerabilities in the Banking Sector; A. The Condition of the Financial Sector; B. Risks and Vulnerabilities; C. A Comprehensive Strategy to Address the Remaining Vulnerabilities; III. Strengthening the Supervision of the Financial Sector; A. Microprudential and Macroprudential Regulatory Infrastructure; B. Assessment of the Oversight Framework
C. Regulation and Supervision of the Banking SectorD. Supervision of Financial Market Infrastructures; E. Supervision of the Insurance Sector; F. Regulation of Securities Markets; IV. Crisis Management and Resolution; V. Anti-Money Laundering and Combating the Financing of Terrorism (AML/CFT); Boxes; 1. Sensitivity and Scenario Analyses of Household and Corporate Indebtedness; 2. Market Estimates of Bank Recapitalization Needs; 3. Analysis of Spillover Risk into the Domestic Banking System; 4. Covered Bond Markets; 2. Economic Developments 3. Market Shares of Credit Institutions as of End-20104. Structure of the Financial Sector; 5. Exposure of Credit Institutions to the Property Sector; 6. Sovereign Debt; 7. Banking Sector Developments; 8. Financial Market Indicators; 9. Banks' Plans for Complying with the Provisioning Requirements of Royal Decree Law 02/2012; 10. Interest Rates and Household Loans; 11. Macro Scenarios for the Solvency Stress Testing Exercise; 12. Overview of the Spain FSAP Update Stress Testing Exercise; 13. Banks' Foreign Exposures; 14. Structured Finance Market; 2. Main Economic Indicators 3. Support Measures for the Financial Sector 4. Selected Financial Soundness Indicators for the Banking Sector; 5. Overview of Diagnostics and Stress Test Sample, as at End-2011; 6. Bank Profitability and Financial Soundness; 7. Funding Liquidity Sources of the Banking Sector; 8. Financial Soundness Indicators of the Non-banking Sectors; 9. Macroeconomic Scenarios for Solvency Stress Tests; 10. Solvency Stress Test Results, with RDL 02/2012 and RDL 18/2012 Impact; 11. BdE Top Down Stress Test Results by Bank Grouping (Incorporating New Provisioning Requirements) 12. Joint Market-Implied Expected Losses Below 13. Reverse Stress Tests of Liquidity Risk-5- and 30-Day Implied Cash Flow Analysis; 14. Liquidity Stress Test-Quasi-Basel III and Maturity Mismatch Analysis; Appendices; I. Risk Assessment Matrix; II. Stress Test Matrices; Appendix Tables; 15. Summary of Banking Sector Stress Tests: Solvency Risks; 16. Summary of Banking Sector Stress Tests: Detailed Assumptions for Testing Solvency Risk; 17. Summary of Banking Sector Stress Tests: Liquidity Risk; III. Details of Solvency Stress Test Methodologies and Assumptions 18. Impact of RDL 02/2012 and RDL 18/2012 on the Income Statement and Balance Sheet |
| Record Nr. | UNINA-9910779400903321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spain : : The Reform of Spanish Savings Banks Technical Notes
| Spain : : The Reform of Spanish Savings Banks Technical Notes |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (35 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Banks and banking - Spain
Banks and Banking Finance: General Public Finance Corporate Governance Money and Monetary Policy Banks Depository Institutions Micro Finance Institutions Mortgages Corporate Finance and Governance: Government Policy and Regulation General Financial Markets: Government Policy and Regulation Taxation, Subsidies, and Revenue: General Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banking Corporate governance role & responsibilities of boards & directors Finance Public finance & taxation Monetary economics Commercial banks Financial sector stability Legal support in revenue administration Financial institutions Economic sectors Financial sector policy and analysis Revenue administration Credit Money Banks and banking Financial services industry Revenue |
| ISBN |
1-4755-0707-0
1-4755-8776-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; A; B; C; F; L; M; N; R; S; Executive Summary; Table; 1. Main Recommendations; The Reform of the Spanish Savings Banks; I. Spanish Savings Banks Before the Reform: A Brief Overview; II. From Boom to Crisis; Figures; 1. Savings Vs. Commercial Banks, 1980-2010; III. From Savings Banks to (Indirect) Commercial Banks; IV. Reforms Achievements; 2. Spanish Savings Banks' Integration Process; 3. Spanish Savings Banks' Market Shares; 4. Spanish Savings Banks: Ownership Structure and Participation in Newly Created Commercial Banks
V. Toward a New Role for Spanish Savings BanksBox; 1. Stakeholders' Complex Objectives in Corporate Governance: International Practices and Countries' Experiences; References |
| Record Nr. | UNINA-9910814977603321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spain : : Oversight and Supervision of Financial Market Infrastructures Technical Note
| Spain : : Oversight and Supervision of Financial Market Infrastructures Technical Note |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (34 p.) |
| Disciplina | 332.152 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Finance - Spain
Banks and Banking Finance: General Investments: General Public Finance Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Public Administration Public Sector Accounting and Audits Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: General (includes Measurement and Data) Finance Public finance & taxation Banking Investment & securities Payment systems PFM information systems Central counterparty clearing house Securities Financial markets Public financial management (PFM) Financial institutions Clearing and settlement systems Clearinghouses Finance, Public Banks and banking Financial instruments |
| ISBN |
1-4755-2675-X
1-4755-6808-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; Executive Summary; Table; 1. Main Recommendations on FMI Supervision and Oversight; I. Introduction; II. Description of the FMI Supervision/Oversight Framework; A. Overview of Financial Market Infrastructures; B. Overview of the Supervisory and Oversight Framework; C. Main Reforms Since the 2006 FSAP; Boxes; 1. 2006 FSAP Recommendations for IBERCLEAR; III. Main Issues at Stake; A. Effectiveness of the Oversight/Supervision of the Systemically Important FMIs; 2. Follow-up of the 2006 FSAP Main Recommendations for IBERCLEAR; B. Cooperation Between Domestic Authorities
C. Financial Risk Management and Corporate Governance of the Spanish CCPsD. Crisis Management; Appendixes; 1. Overview of the Trading, Clearing and Settlement Organization in Spain; 2. European Initiatives in the Field of Securities and Derivatives; Figures; 1. MEFF Collateral Details at End-November 2011; 3. Risk Management Framework in MEFF and MEFFClear; 2. Meffclear Collateral Details at End-November 2011 |
| Record Nr. | UNINA-9910821690703321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spain : : Financial System Stability Assessment
| Spain : : Financial System Stability Assessment |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (78 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Financial crises - Spain
Banks and banking - State supervision - Spain Insurance - State supervision - Spain Securities - State supervision - Spain Debt - Spain Debts, External - Spain Economic indicators - Spain Banks and Banking Finance: General Real Estate Industries: Financial Services Financial Risk Management Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation Housing Supply and Markets Financial Crises Banking Finance Property & real estate Economic & financial crises & disasters Commercial banks Stress testing Housing prices Financial sector policy and analysis Financial institutions Financial crises Loans Prices Banks and banking Financial risk management Housing |
| ISBN |
1-4755-3724-7
1-4755-6545-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; Executive Summary; Figures; 1. The Consolidation of the Banking Sector; Tables; 1. High Priority Recommendations; I. Introduction; II. Risks and Vulnerabilities in the Banking Sector; A. The Condition of the Financial Sector; B. Risks and Vulnerabilities; C. A Comprehensive Strategy to Address the Remaining Vulnerabilities; III. Strengthening the Supervision of the Financial Sector; A. Microprudential and Macroprudential Regulatory Infrastructure; B. Assessment of the Oversight Framework
C. Regulation and Supervision of the Banking SectorD. Supervision of Financial Market Infrastructures; E. Supervision of the Insurance Sector; F. Regulation of Securities Markets; IV. Crisis Management and Resolution; V. Anti-Money Laundering and Combating the Financing of Terrorism (AML/CFT); Boxes; 1. Sensitivity and Scenario Analyses of Household and Corporate Indebtedness; 2. Market Estimates of Bank Recapitalization Needs; 3. Analysis of Spillover Risk into the Domestic Banking System; 4. Covered Bond Markets; 2. Economic Developments 3. Market Shares of Credit Institutions as of End-20104. Structure of the Financial Sector; 5. Exposure of Credit Institutions to the Property Sector; 6. Sovereign Debt; 7. Banking Sector Developments; 8. Financial Market Indicators; 9. Banks' Plans for Complying with the Provisioning Requirements of Royal Decree Law 02/2012; 10. Interest Rates and Household Loans; 11. Macro Scenarios for the Solvency Stress Testing Exercise; 12. Overview of the Spain FSAP Update Stress Testing Exercise; 13. Banks' Foreign Exposures; 14. Structured Finance Market; 2. Main Economic Indicators 3. Support Measures for the Financial Sector 4. Selected Financial Soundness Indicators for the Banking Sector; 5. Overview of Diagnostics and Stress Test Sample, as at End-2011; 6. Bank Profitability and Financial Soundness; 7. Funding Liquidity Sources of the Banking Sector; 8. Financial Soundness Indicators of the Non-banking Sectors; 9. Macroeconomic Scenarios for Solvency Stress Tests; 10. Solvency Stress Test Results, with RDL 02/2012 and RDL 18/2012 Impact; 11. BdE Top Down Stress Test Results by Bank Grouping (Incorporating New Provisioning Requirements) 12. Joint Market-Implied Expected Losses Below 13. Reverse Stress Tests of Liquidity Risk-5- and 30-Day Implied Cash Flow Analysis; 14. Liquidity Stress Test-Quasi-Basel III and Maturity Mismatch Analysis; Appendices; I. Risk Assessment Matrix; II. Stress Test Matrices; Appendix Tables; 15. Summary of Banking Sector Stress Tests: Solvency Risks; 16. Summary of Banking Sector Stress Tests: Detailed Assumptions for Testing Solvency Risk; 17. Summary of Banking Sector Stress Tests: Liquidity Risk; III. Details of Solvency Stress Test Methodologies and Assumptions 18. Impact of RDL 02/2012 and RDL 18/2012 on the Income Statement and Balance Sheet |
| Record Nr. | UNINA-9910806819903321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spain : : Report on the Observance of Standards and Codes: Summary Assessments
| Spain : : Report on the Observance of Standards and Codes: Summary Assessments |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (61 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Banks and banking - State supervision - Spain
Insurance - State supervision - Spain Securities - State supervision - Spain Banks and Banking Finance: General Insurance Industries: Financial Services Public Finance Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Banks Depository Institutions Micro Finance Institutions Mortgages Insurance Companies Actuarial Studies Bankruptcy Liquidation Taxation, Subsidies, and Revenue: General Finance Banking Insurance & actuarial studies Public finance & taxation Insurance companies Commercial banks Solvency Financial institutions Financial sector policy and analysis Internal controls Revenue administration Banks and banking Debt Revenue |
| ISBN |
1-4755-5561-X
1-4755-8382-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; I. Basel Core Principles for Effective Banking Supervision; A. Introduction; B. Information and Methodology Used for Assessment; C. Institutional and Macroeconomic Setting and Market Structure-Overview; D. Preconditions for Effective Banking Supervision; E. Main Findings; Tables; 1. Summary Compliance with the Basel Core Principles-ROSCs; F. Recommended Actions; 2. Recommended Actions; G. Authorities' Response to the Assessment; II. Assessment of Insurance Core Principles; A. Introduction and Scope; B. Executive Summary; C. Main Findings
D. Summary of Observance of the Insurance Core Principles3. Summary of Observance of the Insurance Core Principles; E. Recommendations and the Authorities' Responses; 4. Recommendations to Improve Observance of ICPs; F. Authorities' Response to the Assessment; III. IOSCO Objectives and Principles for Securities Regulation; A. Summary; B. Introduction; C. Information and Methodology Used for the Assessment; D. Institutional Structure; E. Market Structure; 5. Non-Financial Corporations and Households Financial Assets; F. Preconditions for Effective Securities Regulation 6. Spanish Regulated Markets: BME GroupG. Main Findings; 7. Summary Implementation of the IOSCO Principles; 8. Recommended Action Plan to Improve Implementation of the IOSCO Principles; H. Authorities' Response |
| Altri titoli varianti | Financial sector assessment program update |
| Record Nr. | UNINA-9910818060103321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno
| Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno |
| Autore | López-Espinosa Germán |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (39 p.) |
| Altri autori (Persone) |
RubiaAntonio
ValderramaLaura MorenoAntonio |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk assessment
Finance Banks and Banking Econometrics Finance: General Investments: General Accounting Multiple or Simultaneous Equation Models Multiple Variables: General Financial Crises Financial Institutions and Services: General Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Public Administration Public Sector Accounting and Audits Banking Investment & securities Econometrics & economic statistics Financial reporting, financial statements Systemic risk Commercial banks Treasury bills and bonds Vector autoregression Financial sector policy and analysis Financial institutions Econometric analysis Financial statements Public financial management (PFM) Banks and banking Financial risk management Government securities Finance, Public |
| ISBN |
1-4755-8120-3
1-4755-1756-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Modeling Systemic Risk: CoVaR; III. Asymmetric CoVaR; A. Estimation and Inference; IV. Data; V. Downside Comovement in the U.S. Banking Industry; A. Main Empirical Results; B. Discussion; C. Robustness Checks; Bank holding companies and commercial banks; Nonlinear models; Returns of different representative portfolios and other considerations; VI. Concluding Remarks; Figures; 1. Comparison of median estimates from the symmetric and asymmetric CoVaR models; 2. Cross-sectional median estimates of the decile-based coefficients; Tables
1. Sample descriptives for the total and the filtered samples2. Descriptive statistics for economic and financial state variables; 3. Median estimates for the symmetric and asymmetric CoVaR; 4. Estimates across size-sorted deciles for the symmetric and asymmetric CoVaR; 5. Estimates across liabilities-sorted deciles for the symmetric and asymmetric CoVaR; 6. Estimates across BHCs and CBs for the symmetric and asymmetric CoVaR; References |
| Record Nr. | UNINA-9910779500503321 |
López-Espinosa Germán
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno
| Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno |
| Autore | López-Espinosa Germán |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332.10684 |
| Altri autori (Persone) |
RubiaAntonio
ValderramaLaura MorenoAntonio |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk assessment
Finance Banks and Banking Econometrics Finance: General Investments: General Accounting Multiple or Simultaneous Equation Models Multiple Variables: General Financial Crises Financial Institutions and Services: General Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Public Administration Public Sector Accounting and Audits Banking Investment & securities Econometrics & economic statistics Financial reporting, financial statements Systemic risk Commercial banks Treasury bills and bonds Vector autoregression Financial sector policy and analysis Financial institutions Econometric analysis Financial statements Public financial management (PFM) Banks and banking Financial risk management Government securities Finance, Public |
| ISBN |
1-4755-8120-3
1-4755-1756-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Modeling Systemic Risk: CoVaR; III. Asymmetric CoVaR; A. Estimation and Inference; IV. Data; V. Downside Comovement in the U.S. Banking Industry; A. Main Empirical Results; B. Discussion; C. Robustness Checks; Bank holding companies and commercial banks; Nonlinear models; Returns of different representative portfolios and other considerations; VI. Concluding Remarks; Figures; 1. Comparison of median estimates from the symmetric and asymmetric CoVaR models; 2. Cross-sectional median estimates of the decile-based coefficients; Tables
1. Sample descriptives for the total and the filtered samples2. Descriptive statistics for economic and financial state variables; 3. Median estimates for the symmetric and asymmetric CoVaR; 4. Estimates across size-sorted deciles for the symmetric and asymmetric CoVaR; 5. Estimates across liabilities-sorted deciles for the symmetric and asymmetric CoVaR; 6. Estimates across BHCs and CBs for the symmetric and asymmetric CoVaR; References |
| Record Nr. | UNINA-9910810408603321 |
|
López-Espinosa Germán
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose
| Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose |
| Autore | Markose Sheri |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (59 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Derivative securities
Over-the-counter markets Banks and Banking Finance: General Investments: Derivatives Industries: Financial Services Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Financial Forecasting and Simulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Financial Institutions and Services: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Banking Systemic risk Derivative markets Systemically important financial institutions Financial derivatives Financial sector policy and analysis Financial markets Financial institutions Financial contagion Financial risk management Banks and banking Financial services industry |
| ISBN |
1-4755-9015-6
1-4755-3186-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis
A. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References |
| Record Nr. | UNINA-9910779643403321 |
|
Markose Sheri
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose
| Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose |
| Autore | Markose Sheri |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (59 p.) |
| Disciplina | 332.1532 |
| Collana | IMF Working Papers |
| Soggetto topico |
Derivative securities
Over-the-counter markets Banks and Banking Finance: General Investments: Derivatives Industries: Financial Services Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Financial Forecasting and Simulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Financial Institutions and Services: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Banking Systemic risk Derivative markets Systemically important financial institutions Financial derivatives Financial sector policy and analysis Financial markets Financial institutions Financial contagion Financial risk management Banks and banking Financial services industry |
| ISBN |
1-4755-9015-6
1-4755-3186-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis
A. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References |
| Record Nr. | UNINA-9910809633503321 |
|
Markose Sheri
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Tracking Global Demand for Advanced Economy Sovereign Debt / / Serkan Arslanalp, Takahiro Tsuda
| Tracking Global Demand for Advanced Economy Sovereign Debt / / Serkan Arslanalp, Takahiro Tsuda |
| Autore | Arslanalp Serkan |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (63 p.) |
| Altri autori (Persone) | TsudaTakahiro |
| Collana | IMF Working Papers |
| Soggetto topico |
Debts, Public - Developed countries
Finance, Public - Developed countries Banks and Banking Investments: General Public Finance Financial Crises Portfolio Choice Investment Decisions Debt Debt Management Sovereign Debt Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: General (includes Measurement and Data) Public finance & taxation Banking Investment & securities Public debt Foreign banks Government debt management Government securities Financial institutions Public financial management (PFM) Securities Debts, Public Banks and banking, Foreign Banks and banking Financial instruments |
| ISBN |
1-4755-2422-6
1-4755-9322-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Executive Summary; I. Introduction; II. Motivation; III. Methodology for Sovereign Investor Base Estimates; A. Overview; Tables; 1. Sample of Countries; 2. Summary of Data Sources; Figures; 1. Summary of Methodology; 3. Construction of General Government Gross Debt on a Consolidated Basis for Non-European Countries, end-2011; 2. Advanced Economies: Holders of Government Debt, end-2011; 4. Valuation of Debt Securities in Various Databases; B. Estimation Methodology for Each Investor Type; 5. Estimation of Foreign Central Bank Holdings of Government Debt, end-2011
C. Robustness Checks and AdjustmentsD. Limitations and Extensions; IV. Key Trends in The Post-Crisis Period; 3. Foreign Holdings of Government Debt by Country of Origin, 2004-11; A. How Did Foreign Demand Change?; 4. Advanced Economies: Foreign Investors as an Investor Class, 2004-11; Boxes; 1. Country Groups; 5. Advanced Economies: Foreign Share in Government Debt Stock, 2004-11; 6. Advanced Economies: Foreign Net Purchases and Sales of Government Debt, 2008-11; 7. Euro and Non-Euro Area: Foreign Holders of Government Debt; 8. Advanced Economies: Changes in Sovereign Credit Ratings, 2004-11 B. How Did Foreign Demand Change by Investor Type?9. Euro and Non-Euro Area Countries: Foreign Net Purchases of Government Debt; 10. Advanced Economies: Country Allocation of Foreign Investors, 2004-11; 11. Advanced Economies: Cumulative Net Foreign Purchases of Government Debt; 12. Advanced Economies: Foreign Investors' Portfolio Reallocation in 2011; C. How Did Domestic Investors React to Falls in Foreign Demand?; 13. Foreign Investors Position and Sovereign Downgrades, 2004-11; D. How Did Domestic Bank Demand Change More Generally? 14. Advanced Economies: Bank Holdings of Own Government Debt, 2004-1115. Euro and Non-Euro Area: Bank Holdings of Own Government Debt, 2008-11; 16. Euro Area: Bank Holdings of Own Government Debt Securities, 2007-11; V. Sovereign Investor Base Risk Indicators; A. Sovereign Funding Shock Scenarios; 2: Methodology of Sovereign Funding Shock Scenarios; 17. Advanced Economies: Sovereign Funding Shock Scenarios; B. Investor Base Risk Index; 6. Risk Scores by Investor Type; 18. Advanced Economies: Investor Base Risk Index, 2008-11; 19. A Stylized Framework for Sovereign Risk Analysis 20. Advanced Economies: Application of Investor Base Risk Index, end-2009C. Foreign Investor Position Index; 21. Advanced Economies: Foreign Investor Position Index (FIPI), end-2011; VI. Conclusion; Annex Figures; 1. Advanced Economies: Holders of Government Debt, 2004-11; 2. Advanced Economies: Cumulative Purchases of Government Debt, since end-2007; References |
| Record Nr. | UNINA-9910779642903321 |
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Arslanalp Serkan
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Data di pubblicazione
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2012
(103)
Soggetto topico
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Financial institutions
(103)
- Finance (74)
- Banks (66)
- Depository Institutions (66)
- Micro Finance Institutions (66)