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The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / / Li Ong, Jorge Chan-Lau
| The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / / Li Ong, Jorge Chan-Lau |
| Autore | Ong Li |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (27 p.) |
| Altri autori (Persone) | Chan-LauJorge |
| Collana | IMF Working Papers |
| 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 |
| 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-9910788403703321 |
Ong Li
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| 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
| 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 |
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Santos Andre
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Distance-to-Default in Banking : : A Bridge Too Far? / / Amadou Sy, Jorge Chan-Lau
| Distance-to-Default in Banking : : A Bridge Too Far? / / Amadou Sy, Jorge Chan-Lau |
| Autore | Sy Amadou |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Altri autori (Persone) | Chan-LauJorge |
| Collana | IMF Working Papers |
| Soggetto topico |
Bank capital - Econometric models
Bank failures - Econometric models Default (Finance) - Econometric models Risk - Econometric models Banks and Banking Financial Risk Management Public Finance Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation Trade Policy International Trade Organizations International Financial Markets Banking Financial services law & regulation Public finance & taxation Economic & financial crises & disasters Finance Capital adequacy requirements Post-clearance customs audit Deposit insurance Asset valuation Banks and banking Asset requirements Customs administration Crisis management Asset-liability management |
| 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-9910788415103321 |
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Sy Amadou
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Idiosyncratic and Systemic Risk in the European Corporate Sector : : A CDO Perspective / / Yinqiu Lu, Jorge Chan-Lau
| Idiosyncratic and Systemic Risk in the European Corporate Sector : : A CDO Perspective / / Yinqiu Lu, Jorge Chan-Lau |
| Autore | Lu Yinqiu |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Altri autori (Persone) | Chan-LauJorge |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial risk - Europe
Credit derivatives - Europe Finance: General Investments: Stocks Investments: Derivatives Money and Monetary Policy Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors General Financial Markets: Government Policy and Regulation Monetary Policy, Central Banking, and the Supply of Money and Credit: General Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Finance Monetary economics Investment & securities CDOs Systemic risk Credit Stocks Currencies Derivative securities Financial risk management Money |
| 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-9910788415803321 |
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Lu Yinqiu
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano
| Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano |
| Autore | Gasha Jose |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (33 p.) |
| Altri autori (Persone) |
SantosAndre
Chan-LauJorge MedeirosCarlos SoutoMarcos CapuanoChristian |
| Collana | IMF Working Papers |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management Banks and Banking Financial Risk Management Investments: Options Macroeconomics Money and Monetary Policy Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary Policy, Central Banking, and the Supply of Money and Credit: General Finance Financial services law & regulation Monetary economics Credit risk Asset valuation Asset prices Options Credit Financial risk management Asset-liability management Prices Derivative securities |
| ISBN |
1-4623-7897-8
1-4527-8235-0 1-4518-7309-3 9786612843754 1-282-84375-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Structural Models; A. Single-Issuer Default Risk; B. Distance-to-Default: Variations on a Theme; Figure; 1. Dah-Sing Bank: Distance-to-Default; C. Portfolio Credit Risk Models; III. Reduced-Form Models; A. Structural and Reduced-Form Models: Reconciliation Attempts; Boxes; 1. Compensators and Pricing Trends: Some Definitions-Elizalde (2006); B. Some Models; C. Nonlinear Filtering; 2. The Modeling Strategy of Frey, Schmidt, Gabih (2007); IV. Other Innovations in the Modeling of Credit Risk; A. Default Correlation Using Copulas and Other Recent Approaches
B. Pricing of Credit Index Options C. Distressed Debt Prices and Recovery Rate Estimation; V. Conclusions; Appendix; Filtration and the Pricing of Credit Index Options; References |
| Record Nr. | UNINA-9910788330903321 |
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Gasha Jose
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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