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Counterparty Risk in the Over-The-Counter Derivatives Market / / Manmohan Singh, Miguel Segoviano
| Counterparty Risk in the Over-The-Counter Derivatives Market / / Manmohan Singh, Miguel Segoviano |
| Autore | Singh Manmohan |
| 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 |
| Record Nr. | UNINA-9910788342503321 |
Singh Manmohan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counterparty Risk in the Over-The-Counter Derivatives Market / / Manmohan Singh, Miguel Segoviano
| 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 | ||
| ||
Money and Collateral / / Manmohan Singh, Peter Stella
| Money and Collateral / / Manmohan Singh, Peter Stella |
| Autore | Singh Manmohan |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (23 p.) |
| Altri autori (Persone) | StellaPeter |
| Collana |
IMF Working Papers
IMF working policy |
| Soggetto topico |
Money
Monetary policy Banks and Banking Finance: General Money and Monetary Policy 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 Monetary Policy, Central Banking, and the Supply of Money and Credit: General Portfolio Choice Investment Decisions Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Finance Banking Monetary economics Collateral Monetary base Liquidity Bank deposits Financial institutions Asset and liability management Currencies Financial services Loans Banks and banking Money supply Economics |
| ISBN |
1-4755-8707-4
1-4755-7395-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Money and the (Adjusted) Money Multiplier; Figure; 1. Monetary Base and Deposits at the Central Bank (1959-2011); III. Collateral; 2. U.S. Total Credit Market Assets (ratio to GDP); Table; 1. Definition of Terms Used; 3. U.S. Ratio of Total US Financial Intermediaries Liabilities to Ultimate Liquidity; 4. Ratio of Total US Commercial Bank Liabilities to Ultimate Liquidity; 5. Ratio of Total US Nonbank Financial Intermediaries Liabilities to their holdings of C1; IV. Safe Assets and Treasury-bills-What Determines their Supply?
6. Ratio of T-Bills/Total Issuance by U.S. Treasury Since 1982 V. Collateral Chains; VI. Monetary Policy and Financial Lubrication; VII. Conclusion; 7. Bills/Total Issuance Relative to 10 year Yields minus 6-month Yields (1961-2011); Annex; 1. Debt Management Strategy of U.S. Treasury since the 1960's; References |
| Record Nr. | UNINA-9910779226303321 |
|
Singh Manmohan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Money and Collateral / / Manmohan Singh, Peter Stella
| Money and Collateral / / Manmohan Singh, Peter Stella |
| Autore | Singh Manmohan |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332.1;332.152 |
| Altri autori (Persone) | StellaPeter |
| Collana |
IMF Working Papers
IMF working policy |
| Soggetto topico |
Money
Monetary policy Banks and Banking Finance: General Money and Monetary Policy 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 Monetary Policy, Central Banking, and the Supply of Money and Credit: General Portfolio Choice Investment Decisions Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Finance Banking Monetary economics Collateral Monetary base Liquidity Bank deposits Financial institutions Asset and liability management Currencies Financial services Loans Banks and banking Money supply Economics |
| ISBN |
1-4755-8707-4
1-4755-7395-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Money and the (Adjusted) Money Multiplier; Figure; 1. Monetary Base and Deposits at the Central Bank (1959-2011); III. Collateral; 2. U.S. Total Credit Market Assets (ratio to GDP); Table; 1. Definition of Terms Used; 3. U.S. Ratio of Total US Financial Intermediaries Liabilities to Ultimate Liquidity; 4. Ratio of Total US Commercial Bank Liabilities to Ultimate Liquidity; 5. Ratio of Total US Nonbank Financial Intermediaries Liabilities to their holdings of C1; IV. Safe Assets and Treasury-bills-What Determines their Supply?
6. Ratio of T-Bills/Total Issuance by U.S. Treasury Since 1982 V. Collateral Chains; VI. Monetary Policy and Financial Lubrication; VII. Conclusion; 7. Bills/Total Issuance Relative to 10 year Yields minus 6-month Yields (1961-2011); Annex; 1. Debt Management Strategy of U.S. Treasury since the 1960's; References |
| Record Nr. | UNINA-9910813048103321 |
|
Singh Manmohan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Pricing of Credit Default Swaps During Distress / / Manmohan Singh, Jochen Andritzky
| The Pricing of Credit Default Swaps During Distress / / Manmohan Singh, Jochen Andritzky |
| Autore | Singh Manmohan |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (25 p.) |
| Altri autori (Persone) | AndritzkyJochen |
| Collana | IMF Working Papers |
| Soggetto topico |
Swaps (Finance)
Default (Finance) Banks and Banking Finance: General Investments: Bonds Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Interest Rates: Determination, Term Structure, and Effects Monetary economics Investment & securities Finance Credit default swap Bonds Yield curve Securities markets Credit Interest rates Capital market |
| ISBN |
1-4623-6493-4
1-4527-0069-9 1-283-51509-1 9786613827548 1-4519-0967-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. CDS VALUATION AND THE BASIS""; ""III. THE ROLE OF RECOVERY""; ""IV. DATA ANALYSIS""; ""V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE""; ""VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788404503321 |
|
Singh Manmohan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Pricing of Credit Default Swaps During Distress / / Manmohan Singh, Jochen Andritzky
| The Pricing of Credit Default Swaps During Distress / / Manmohan Singh, Jochen Andritzky |
| Autore | Singh Manmohan |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (25 p.) |
| Altri autori (Persone) | AndritzkyJochen |
| Collana | IMF Working Papers |
| Soggetto topico |
Swaps (Finance)
Default (Finance) Banks and Banking Finance: General Investments: Bonds Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Interest Rates: Determination, Term Structure, and Effects Monetary economics Investment & securities Finance Credit default swap Bonds Yield curve Securities markets Credit Interest rates Capital market |
| ISBN |
1-4623-6493-4
1-4527-0069-9 1-283-51509-1 9786613827548 1-4519-0967-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. CDS VALUATION AND THE BASIS""; ""III. THE ROLE OF RECOVERY""; ""IV. DATA ANALYSIS""; ""V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE""; ""VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD""; ""VII. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910825686803321 |
|
Singh Manmohan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||