Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
The credit risk transfer market and stability implications for U.K. financial institutions [[electronic resource] /] / Jorge A. Chan-Lau and Li Lian Ong
| The credit risk transfer market and stability implications for U.K. financial institutions [[electronic resource] /] / Jorge A. Chan-Lau and Li Lian Ong |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |
| Descrizione fisica | 1 online resource (27 p.) |
| Altri autori (Persone) | OngLi Lian |
| Collana | IMF working paper |
| Soggetto topico |
Credit derivatives - Great Britain
Derivative securities - Great Britain |
| Soggetto genere / forma | Electronic books. |
| 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 | eng |
| 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"" |
| Record Nr. | UNINA-9910464348003321 |
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Currency mismatches and corporate default risk [[electronic resource] ] : modeling, measurement, and surveillance applications / / prepared by Jorge A. Chan-Lau and Andre O. Santos
| Currency mismatches and corporate default risk [[electronic resource] ] : modeling, measurement, and surveillance applications / / prepared by Jorge A. Chan-Lau and Andre O. Santos |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., c2006 |
| Descrizione fisica | 1 online resource (32 p.) |
| Altri autori (Persone) | SantosAndre O |
| Collana | IMF working paper |
| Soggetto topico |
Corporations - Finance
Default (Finance) |
| Soggetto genere / forma | Electronic books. |
| 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-9910464346603321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Research Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Distance-to-default in banking [[electronic resource] ] : a bridge too far? / / Jorge A. Chan-Lau and Amadou N.R. Sy
| Distance-to-default in banking [[electronic resource] ] : a bridge too far? / / Jorge A. Chan-Lau and Amadou N.R. Sy |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Altri autori (Persone) | SyAmadou N. R |
| Collana | IMF working paper |
| Soggetto topico |
Bank capital - Econometric models
Bank failures - Econometric models Default (Finance) - Econometric models Risk - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-5181-6
1-4527-7738-1 1-283-51164-9 1-4519-0928-4 9786613824097 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. WHAT HAPPENS BEFORE A BANK DEFAULT?""; ""III. A UNIFIED FRAMEWORK FOR DISTANCE MEASURES : DISTANCE-TO-CAPITAL""; ""IV. CASE STUDY: THE RESONA AND ASHIKAGA BANKS""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464845903321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis [[electronic resource] /] / Jorge A. Chan-Lau, Estelle X. Liu, and Jochen M. Schmittmann
| Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis [[electronic resource] /] / Jorge A. Chan-Lau, Estelle X. Liu, and Jochen M. Schmittmann |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | Washington, DC, : International Monetary Fund, 2012 |
| Descrizione fisica | 1 online resource (23 p.) |
| Altri autori (Persone) |
LiuEstelle X
SchmittmannJochen M |
| Collana | IMF working paper |
| Soggetto topico |
Capital market
Investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4755-7793-1
1-4755-2545-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Bank Equity Performance during the Recent Crisis; Figures; 1. U.S. and European Banks Price Indices; 2. European Banking Sector Indices, January 2006=100; II. Literature Review; III. Data and Variable Definitions; 3. Excess Equity Returns in the Banking Sector; 4. Sovereign Risk vs. PMI, monthly changes; IV. What Explains Equity Returns in the Banking Sector?; Tables; 1. Banks' Equity Returns: Model Specifications; 2. Banks' Equity Returns: Different Sample Periods; 3. Banks' Equity Returns: United Kingdom, United States, and Japan
4. Banks' Equity Returns: Euro Area CountriesV. Do Bank Characteristics Matter for Explaining Equity Returns?; 5. Banks' Equity Returns and Bank Characteristics; 6. Banks' Equity Returns and Standard Vulnerability Indicators; VI. Conclusions; References; Appendix: I. List of Banks |
| Record Nr. | UNINA-9910461964103321 |
|
Chan-Lau Jorge A
|
||
| Washington, DC, : International Monetary Fund, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fundamentals-based estimation of default probabilities [[electronic resource] ] : a survey / / Jorge A. Chan-Lau
| Fundamentals-based estimation of default probabilities [[electronic resource] ] : a survey / / Jorge A. Chan-Lau |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 |
| Descrizione fisica | 1 online resource (20 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Corporations - Evaluation - Econometric models
Default (Finance) - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4173-X
1-4527-5115-3 1-282-39224-7 9786613820679 1-4527-0256-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MACROECONOMIC-BASED MODELS""; ""III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS""; ""IV. RATINGS-BASED MODELS""; ""V. HYBRID MODELS""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464829003321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Idiosyncratic and systemic risk in the European corporate sector [[electronic resource] ] : CDO perspective / / prepared by Jorge A. Chan-Lau and Yinqiu Lu
| Idiosyncratic and systemic risk in the European corporate sector [[electronic resource] ] : CDO perspective / / prepared by Jorge A. Chan-Lau and Yinqiu Lu |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Altri autori (Persone) | LuYinqiu |
| Collana | IMF working paper |
| Soggetto topico |
Financial risk - Europe
Credit derivatives - Europe |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4072-5
1-4519-9642-X 1-283-51193-2 9786613824387 1-4519-0901-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS""; ""III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS""; ""IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES""; ""V. DATA AND EMPIRICAL FRAMEWORK""; ""VI. RESULTS""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464563203321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Is systematic default risk priced in equity returns? [[electronic resource] ] : a cross-sectional analysis using credit derivatives prices / / Jorge A. Chan-Lau
| Is systematic default risk priced in equity returns? [[electronic resource] ] : a cross-sectional analysis using credit derivatives prices / / Jorge A. Chan-Lau |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7402-6
1-4527-5317-2 1-282-39213-1 9786613820563 1-4527-0254-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK""; ""III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES""; ""IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS?""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464832603321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-based estimation of default probabilities and its application to financial market surveillance [[electronic resource] /] / prepared by Jorge A. Chan-Lau
| Market-based estimation of default probabilities and its application to financial market surveillance [[electronic resource] /] / prepared by Jorge A. Chan-Lau |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, IMF Institute, 2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Default (Finance)
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910463965703321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, IMF Institute, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||