Counterparty Risk in the Over-The-Counter Derivatives Market / / Manmohan Singh, Miguel Segoviano |
Autore | Singh Manmohan |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
Descrizione fisica | 1 online resource (21 pages) : illustrations (some color), tables |
Disciplina | 332.645 |
Altri autori (Persone) | SegovianoMiguel |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Derivative securities - Econometric models
Over-the-counter markets - Econometric models Risk - Econometric models Banks and Banking Finance: General Money and Monetary Policy General Financial Markets: General (includes Measurement and Data) Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banks Depository Institutions Micro Finance Institutions Mortgages Finance Monetary economics Banking Derivative markets Over-the-counter markets Credit default swap Credit Derivative securities Financial instruments Banks and banking |
ISBN |
1-4623-4872-6
1-4518-7116-3 9786612842092 1-4527-3091-1 1-282-84209-9 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Intro -- 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. |
Record Nr. | UNINA-9910810965503321 |
Singh Manmohan | ||
Washington, D.C. : , : International Monetary Fund, , 2008 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties / / James Aitken, Manmohan Singh |
Autore | Aitken James |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (17 p.) |
Disciplina | 332.63232 |
Altri autori (Persone) | SinghManmohan |
Collana | IMF Working Papers |
Soggetto topico |
Credit - Risk assessment
Risk management - United States Banks and banking - United States Finance - United States Banks and Banking Finance: General Money and Monetary Policy Industries: Financial Services International Finance Forecasting and Simulation Portfolio Choice Investment Decisions International Financial Markets Financial Institutions and Services: Government Policy and Regulation Banks Depository Institutions Micro Finance Institutions Mortgages Monetary Systems Standards Regimes Government and the Monetary System Payment Systems General Financial Markets: General (includes Measurement and Data) Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Monetary economics Banking Collateral Currencies International liquidity Derivative markets Financial institutions Money Asset and liability management Financial markets Central counterparty clearing house Loans Banks and banking International finance Derivative securities Clearinghouses |
ISBN |
1-4623-6484-5
1-4527-7428-5 1-4518-7320-4 1-282-84385-0 9786612843853 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Contents; I. Introduction; II. Counterparty Risk; Figures; 1. Illustrative Repricing of Derivatives When a Large Financial Institution Fails; III. The Changing Profile of Counterparty Risk in the United States; IV. The Adverse Impact of Counterparty Risk on Global Liquidity; 2. Counterparty Liabilities of Major U.S. Banks; Tables; 1. Snapshot of Reduced Collateral Posting Among LCFIs; 2. Securities Lending by Major Custodians; V. Regulatory Thrust for a Central Counterparty; 3. Cash Holding by Major LCFIs; VI. Conclusions and Policy Implications; Appendixes
1. Methodological Issues in Computing Connectedness in Counterparty RiskReferences |
Record Nr. | UNINA-9910788229603321 |
Aitken James | ||
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Country Stress Events : : Does Governance Matter? / / Anna Kochanova, Carlos Caceres |
Autore | Kochanova Anna |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (46 p.) |
Altri autori (Persone) | CaceresCarlos |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Economic policy
Economics Banks and Banking Money and Monetary Policy Industries: Financial Services Financial Risk Management 'Panel Data Models Spatio-temporal Models' Financial Aspects of Economic Integration Banks Depository Institutions Micro Finance Institutions Mortgages Socialist Institutions and Their Transitions: Financial Economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Financial Crises Banking Monetary economics Finance Economic & financial crises & disasters Foreign banks Bank credit Credit Loans Financial institutions Money Financial crises Banks and banking Banks and banking, Foreign Exports and Imports Finance: General Macroeconomics Public Finance Criminology Relation of Economics to Other Disciplines Institutions and the Macroeconomy Fiscal Policy Corporate Finance and Governance: Government Policy and Regulation Law and Economics: General (including Data Sources and Description) Public Administration Public Sector Accounting and Audits Personal Income, Wealth, and Their Distributions Bureaucracy Administrative Processes in Public Organizations Corruption International Lending and Debt Problems General Financial Markets: Government Policy and Regulation Public finance & taxation Corporate crime white-collar crime International economics Fiscal risks Personal income Debt default Financial soundness indicators Fiscal policy Income Debts, External Financial services industry |
ISBN |
1-4755-1820-X
1-4755-4247-X |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; CONTENTS; I. INTRODUCTION; II. DATA AND CONSTRUCTION OF THE MAIN VARIABLES; A. GOVERNANCE MEASURES; B. FISCAL STRESS INDICATOR (FSI); C. POLITICAL STRESS INDICATOR (PSI); D. OTHER VARIABLES; III. ESTIMATION METHODOLOGY AND MAIN RESULTS; A. ESTIMATION TECHNIQUE; B. ESTIMATION RESULTS; IV. DISCUSSION OF THE RESULTS; A. FISCAL STRESS; B. POLITICAL STRESS; V. CONCLUSION; REFERENCES; ANNEX I: DATA AND DESCRIPTIVE STATISTICS; ANNEX II: DATA SOURCES; ANNEX III: FISCAL AND POLITICAL STRESS EVENTS; ANNEX IV: GROUPING OF COUNTRIES BY REGION AND HYDROCARBON EXPORT; ANNEX V: ESTIMATION RESULTS
ANNEX VI: PREDICTED VALUES FROM STRESS EVENT MODEL |
Record Nr. | UNINA-9910779224603321 |
Kochanova Anna | ||
Washington, D.C. : , : International Monetary Fund, , 2012 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Credit Market in Morocco : : A Disequilibrium Approach / / Nada Oulidi, Laurence Allain |
Autore | Oulidi Nada |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (20 p.) |
Disciplina | 338.9669 |
Altri autori (Persone) | AllainLaurence |
Collana | IMF Working Papers |
Soggetto topico |
Credit control - Morocco - Mathematical models
Credit - Morocco - Mathematical models Banks and Banking Finance: General Money and Monetary Policy Real Estate Macroeconomics Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: General Monetary Policy, Central Banking, and the Supply of Money and Credit: General Real Estate Markets, Spatial Production Analysis, and Firm Location: General General Financial Markets: General (includes Measurement and Data) Interest Rates: Determination, Term Structure, and Effects Price Level Inflation Deflation Monetary economics Finance Property & real estate Credit Real estate prices Bank credit Stock markets Real interest rates Money Prices Financial markets Asset prices Housing Stock exchanges Interest rates |
ISBN |
1-4623-9613-5
1-4527-5310-5 9786612842757 1-282-84275-7 1-4518-7201-1 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Contents; I. Introduction; II. Overview of Credit Market Developments; Figures; 1. Required Bank Reserves and Official Reserves, 2000-07; 2. Treasury Bill Rate, 2000-07; 3. Private Sector Credit in Percent of GDP, 2000-07; 4. Structure of Banking System Assets; 5. Credit to the Economy (2002=100); 6. Evolution of Real Estate Stock Market Index; III. Literature Review; IV. Estimation Strategy; V. Estimation Results; VI. Concluding Remarks; Appendixes; I. Unit Root Tests; II. Cointegration Tests; References |
Record Nr. | UNINA-9910788339303321 |
Oulidi Nada | ||
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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The Crisis : : Basic Mechanisms and Appropriate Policies / / Olivier Blanchard |
Autore | Blanchard Olivier |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (24 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Economic stabilization
Economic indicators Accounting Banks and Banking Finance: General Financial Risk Management Industries: Financial Services Real Estate Business Fluctuations Cycles Financial Markets and the Macroeconomy Banks Depository Institutions Micro Finance Institutions Mortgages Financial Crises Public Administration Public Sector Accounting and Audits General Financial Markets: General (includes Measurement and Data) Housing Supply and Markets Finance Economic & financial crises & disasters Banking Financial reporting, financial statements Property & real estate Financial crises Financial statements Emerging and frontier financial markets Financial institutions Public financial management (PFM) Housing prices Prices Financial markets Banks and banking Finance, Public Financial services industry Housing |
ISBN |
1-4623-4366-X
9786612843013 1-282-84301-X 1-4518-7227-5 1-4519-8525-8 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Contents; I. Introduction; Figures; 1. Initial Subprime Losses and Declines in World GDP and World Stock Market Capitalization; II. Initial Conditions; 2. A Visual Sense of the Complexity: From Mortgages to Securities; 3. Connectedness Across Countries: Advanced Economies Banks' Claims on the Rest of the World; III. Amplification Mechanisms; IV. Dynamics in Real Time; 4. Contagion Across Assets, Institutions, and Countries; 5. Counterparty Risk in the Advanced Economies; 6. Bank Lending Standards in the U.S. and the Euro Area; 7. Emerging Market Sovereign Spreads; 8a. Decrease in Stock Prices
8b. Decrease in Business and Consumer ConfidenceV. Policies for the Short Run; 9. Growth Forecasts for 2009.; 10. Counterparty Risk Since September 2008; 11. Emerging Market Sovereign Spreads Since September 2008; VI. Policies to Avoid a Repeat; VII. Conclusions; References |
Record Nr. | UNINA-9910788339503321 |
Blanchard Olivier | ||
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Currency Mismatches and Corporate Default Risk : : Modeling, Measurement, and Surveillance Applications / / Andre Santos, Jorge Chan-Lau |
Autore | Santos Andre |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (32 p.) |
Altri autori (Persone) | Chan-LauJorge |
Collana | IMF Working Papers |
Soggetto topico |
Corporations - Finance
Default (Finance) Exports and Imports Finance: General Financial Risk Management Foreign Exchange Money and Monetary Policy International Financial Markets General Financial Markets: Government Policy and Regulation Monetary Systems Standards Regimes Government and the Monetary System Payment Systems International Lending and Debt Problems Finance Monetary economics International economics Currency Foreign exchange Asset valuation Currency mismatches Currencies Debt default Exchange rates Asset-liability management Financial risk management Money Debts, External |
ISBN |
1-4623-4273-6
1-4527-7435-8 1-283-51638-1 9786613828835 1-4519-0982-9 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. WHY DO CURRENCY MISMATCHES MATTER?""; ""III. THE STRUCTURAL APPROACH TO DEFAULT RISK""; ""IV. THE DIFUSSION MODEL""; ""V. THE JUMP-DIFFUSION MODEL""; ""VI. THE DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL""; ""VII. SURVEILLANCE APPLICATIONS""; ""VIII. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910788698803321 |
Santos Andre | ||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Currency Risk Premia in Global Stock Markets / / Matthew Merritt, Shaun Roache |
Autore | Merritt Matthew |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (27 p.) |
Altri autori (Persone) | RoacheShaun |
Collana | IMF Working Papers |
Soggetto topico |
Foreign exchange rates
Foreign exchange market Banks and Banking Finance: General Foreign Exchange Investments: General Money and Monetary Policy Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary Systems Standards Regimes Government and the Monetary System Payment Systems General Financial Markets: General (includes Measurement and Data) Investment Capital Intangible Capital Capacity Financial services law & regulation Monetary economics Finance Macroeconomics Currency Foreign exchange Exchange rate risk Currencies Stock markets Return on investment Exchange rates Financial risk management Money Stock exchanges Saving and investment |
ISBN |
1-4623-9621-6
1-4527-4610-9 1-282-44794-7 1-4519-9116-9 9786613821140 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. PREVIOUS LITERATURE""; ""III. MODEL SPECIFICATION ""; ""IV. ESTIMATION""; ""V. DATA AND PRELIMINARY STATISTICS""; ""VI. MAIN RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910788524003321 |
Merritt Matthew | ||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Cyclical Patterns of Government Expenditures in Sub-Saharan Africa : : Facts and Factors / / Irene Yackovlev, Victor Lledo, Lucie Gadenne |
Autore | Yackovlev Irene |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (53 p.) |
Altri autori (Persone) |
LledoVictor
GadenneLucie |
Collana | IMF Working Papers |
Soggetto topico |
Fiscal policy - Africa, Sub-Saharan
Finance, Public - Africa, Sub-Saharan Finance: General Macroeconomics Public Finance Fiscal Policy General Financial Markets: Government Policy and Regulation National Government Expenditures and Related Policies: General Debt Debt Management Sovereign Debt Public finance & taxation Finance Fiscal policy Procyclicality Expenditure Fiscal space Public debt Financial risk management Expenditures, Public Debts, Public |
ISBN |
1-4623-3658-2
1-282-84461-X 1-4518-7419-7 1-4527-6922-2 9786612844614 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Evolution of the fiscal balance in sub-Saharan Africa, current and past cycles; 1. Number of sub-Saharan African countries satisfying various macroeconomic performance and institutional quality criterial by decade; II. Literature Review; III. Empirical Strategy; A. Empirical Model and Identification; B. Data, Measurement, and Specification; IV. Results; A. Key Facts; 2. Cyclical properties of government spending, 1970-2008; 3. Robustness checks, system-GMM estimates and additional controls
4. Cyclical properties of government spending by decade B. Factors; 5. Political factors, impact on procyclicality, 1970-2008; 6. Financing constraints, impact on procyclicality, 1970-2008; 7. Macroeconomic stability and fiscal space, impact on procyclicality, 1970-2008; 8. How can we explain the evolution of procyclicality over time in sub-Saharan Africa?; V. Conclusions and Policy Implications; Appendix; References; Footnotes |
Record Nr. | UNINA-9910788222103321 |
Yackovlev Irene | ||
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
|
Cyprus : : Request for an Arrangement Under the Extended Fund Facility |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2013 |
Descrizione fisica | 1 online resource (131 p.) |
Collana | IMF Staff Country Reports |
Soggetto topico |
Banks and banking - Cyprus
Banks and Banking Financial Risk Management Macroeconomics Money and Monetary Policy Public Finance Finance: General Banks Depository Institutions Micro Finance Institutions Mortgages Fiscal Policy Debt Debt Management Sovereign Debt Interest Rates: Determination, Term Structure, and Effects Taxation, Subsidies, and Revenue: General Banking Public finance & taxation Finance Monetary economics Commercial banks Public debt Fiscal consolidation Fiscal stance Financial institutions Fiscal policy Revenue administration Banks and banking Debts, Public Interest rates Debts, External Revenue |
ISBN |
1-4843-4991-1
1-4843-1745-9 1-4843-8194-7 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; CONTENTS; BACKGROUND; RECENT ECONOMIC DEVELOPMENTS; BOXES; 1. Dealing with the Problem Banks; 2. Spillovers from Economic and Financial Developments in Cyprus; 3. Temporary Administrative Measures; PROGRAM STRATEGY; MACRO ECONOMIC FRAMEWORK; 4. Cyprus: Impact of the Crisis on Economic Activity; DEBT SUSTAINABILITY; POLICY DISCUSSIONS; A. Financial Sector Policy; B. Fiscal Policy; C. Structural Fiscal Reforms; PROGRAM MODALITIES; A. Access, Phasing and Conditionality; B. Capacity to Repay the Fund and Risks to the Program; STAFF APPRAISAL; FIGURES; 1. Macroeconomic Imbalances
2. Selected Economic Indicators 3. Selected Structural and Competitiveness Indicators; 4. Selected Financial Sector Indicators; 5. Selected Structural Fiscal Issues; TABLES; 1. Selected Economic Indicators and Macroeconomic Framework, 2008-2020; 2. Fiscal Developments and Projections, 2008-2020; 3. Calculation of Gross Financing Requirement and Sources of Financing; 4. Balance of Payments, 2008-2020; 5. External Financing Requirements and Sources, 2012-2020; 6. Indicators of Fund Credit, 2012-2020; 7. Schedule of Review and Purchase; ANNEXES; 1. Public Sector Debt Sustainability Analysis 2. External Sector Debt Sustainability Analysis 3. Exchange Measures Giving Rise to Fund Jurisdiction Under Article VIII of the Fund's Articles of Agreement; APPENDICES; 1. Letter of Intent; Attachment 1. Memorandum of Economic and Financial Policies; Attachment 2. Technical Memorandum of Understanding; 2. Letter of Intent to the European Commission; Attachment 1. Memorandum of Understanding on Specific Economic Policy Conditionality (European Commission) |
Record Nr. | UNINA-9910779768503321 |
Washington, D.C. : , : International Monetary Fund, , 2013 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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Deleveraging After Lehman : : Evidence From Reduced Rehypothecation / / James Aitken, Manmohan Singh |
Autore | Aitken James |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (13 p.) |
Altri autori (Persone) | SinghManmohan |
Collana | IMF Working Papers |
Soggetto topico |
Suretyship and guaranty
Economic stabilization Finance: General Investments: General Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation International Monetary Arrangements and Institutions Corporation and Securities Law General Financial Markets: Government Policy and Regulation International Financial Markets General Financial Markets: General (includes Measurement and Data) Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment Banking Venture Capital Brokerage Ratings and Ratings Agencies Finance Investment & securities Collateral Securities Hedge funds Brokers and dealers Financial institutions Financial markets Loans Financial instruments Financial services industry Stockbrokers |
ISBN |
1-4623-1340-X
1-4527-1879-2 9786612842641 1-4518-7190-2 1-282-84264-1 |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Contents; I. Introduction; II. Rehypothecation in the United States and the United Kingdom; III. Rehypothecation After Lehman's Bankruptcy; Tables; 1. Collateral Received that can be Pledged is Decreasing; 2. Securities Lending by Major Custodians; IV. Conclusion; Appendix; 1. Securities Exchange Act's Rule 15c3-3; References |
Record Nr. | UNINA-9910788338703321 |
Aitken James | ||
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Federico II | ||
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