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Banking Stability Measures / / C. Goodhart, Miguel Segoviano
| Banking Stability Measures / / C. Goodhart, Miguel Segoviano |
| Autore | Goodhart C |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (56 p.) |
| Altri autori (Persone) | SegovianoMiguel |
| Collana | IMF Working Papers |
| Soggetto topico |
Economic stabilization
Banks and banking Banks and Banking Finance: General Macroeconomics Money and Monetary Policy Banks Depository Institutions Micro Finance Institutions Mortgages Monetary Policy, Central Banking, and the Supply of Money and Credit: General Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) General Financial Markets: Government Policy and Regulation Banking Monetary economics Economic growth Finance Commercial banks Credit default swap Business cycles Systemic risk Credit Financial risk management |
| ISBN |
1-4623-4165-9
1-4527-2788-0 1-282-84227-7 9786612842276 1-4518-7151-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Distress Dependence among Banks and Stability of the Banking System; Figures; 1. The Probability of Distress; III. Banking System Multivariate Density; A. The CIMDO Approach: Modeling the Banking System Multivariate Density; 2. The Banking System's Multivariate Density; B. The CIMDO-copula: Distress Dependence among Banks in the System; Box; 1. Drawbacks to the Characterization of Distress Dependence of Financial Returns with Correlations; IV. Banking Stability Measures; A. Common Distress in the Banks of the System; B. Distress Between Specific Banks
C. Distress in the System Associated with a Specific BankTables; 1. Distress Dependence Matrix; V. Banking Stability Measures: Empirical Results; 3. Probability That At Least One Bank Becomes Distressed; A. Estimation of Probabilities of Distress of Individual Banks; B. Examination of Relative Changes of Stability over Time; 4. Joint Probability of Distress; 5. Banking Stability Index; 6. Daily Percentage Increase: Joint and Average Probability of Distress; 7. PAO: Lehman; C. Analysis of Cross-Region Effects Between Different Banking Groups D. Analysis of Foreign Banks' Risks to Sovereigns with Banking Systems with Cross-Border Institutions2. Distress Dependence Matrix: American and European Banks; 8. Foreign-Bank and Sovereign Risks; 3. Distress Dependence Matrix: Latin America. Sovereigns and Banks; 4. Distress Dependence Matrix: Eastern Europe. Sovereigns and Banks; 5. Distress Dependence Matrix: Asia. Sovereigns and Banks; VI. Conclusions; Appendixes; I. Copula Functions; II. CIMDO-copula; III. CIMDO-density and CIMDO-copula Evaluation Framework; IV. Estimation of Probabilities of Distress of Individual Banks; References |
| Record Nr. | UNINA-9910788349903321 |
Goodhart C
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Banking Stability Measures / / C. Goodhart, Miguel Segoviano
| Banking Stability Measures / / C. Goodhart, Miguel Segoviano |
| Autore | Goodhart C |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (56 p.) |
| Disciplina | 332.75 |
| Altri autori (Persone) | SegovianoMiguel |
| Collana | IMF Working Papers |
| Soggetto topico |
Economic stabilization
Banks and banking Banking Banks and Banking Banks Business cycles Commercial banks Credit default swap Credit Depository Institutions Economic growth Finance Finance: General Financial risk management General Financial Markets: Government Policy and Regulation Macroeconomics Micro Finance Institutions Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Mortgages Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Systemic risk |
| ISBN |
9786612842276
9781462341658 1462341659 9781452727882 1452727880 9781282842274 1282842277 9781451871517 1451871511 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Distress Dependence among Banks and Stability of the Banking System; Figures; 1. The Probability of Distress; III. Banking System Multivariate Density; A. The CIMDO Approach: Modeling the Banking System Multivariate Density; 2. The Banking System's Multivariate Density; B. The CIMDO-copula: Distress Dependence among Banks in the System; Box; 1. Drawbacks to the Characterization of Distress Dependence of Financial Returns with Correlations; IV. Banking Stability Measures; A. Common Distress in the Banks of the System; B. Distress Between Specific Banks
C. Distress in the System Associated with a Specific BankTables; 1. Distress Dependence Matrix; V. Banking Stability Measures: Empirical Results; 3. Probability That At Least One Bank Becomes Distressed; A. Estimation of Probabilities of Distress of Individual Banks; B. Examination of Relative Changes of Stability over Time; 4. Joint Probability of Distress; 5. Banking Stability Index; 6. Daily Percentage Increase: Joint and Average Probability of Distress; 7. PAO: Lehman; C. Analysis of Cross-Region Effects Between Different Banking Groups D. Analysis of Foreign Banks' Risks to Sovereigns with Banking Systems with Cross-Border Institutions2. Distress Dependence Matrix: American and European Banks; 8. Foreign-Bank and Sovereign Risks; 3. Distress Dependence Matrix: Latin America. Sovereigns and Banks; 4. Distress Dependence Matrix: Eastern Europe. Sovereigns and Banks; 5. Distress Dependence Matrix: Asia. Sovereigns and Banks; VI. Conclusions; Appendixes; I. Copula Functions; II. CIMDO-copula; III. CIMDO-density and CIMDO-copula Evaluation Framework; IV. Estimation of Probabilities of Distress of Individual Banks; References |
| Record Nr. | UNINA-9910970193203321 |
|
Goodhart C
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||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| 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 |
| 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
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| 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 Banking Banks and Banking Banks and banking Banks Credit default swap Credit Depository Institutions Derivative markets Derivative securities Finance Finance: General Financial instruments General Financial Markets: General (includes Measurement and Data) Micro Finance Institutions Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Mortgages Over-the-counter markets |
| ISBN |
9786612842092
9781462348725 1462348726 9781451871166 1451871163 9781452730912 1452730911 9781282842090 1282842099 |
| 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-9910957403203321 |
|
Singh Manmohan
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Does Gross or Net Debt Matter More for Emerging Market Spreads? / / Metodij Hadzi-Vaskov, Luca Ricci
| Does Gross or Net Debt Matter More for Emerging Market Spreads? / / Metodij Hadzi-Vaskov, Luca Ricci |
| Autore | Hadzi-Vaskov Metodij |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
| Descrizione fisica | 1 online resource (38 pages) : illustrations |
| Disciplina | 336.3435091724 |
| Altri autori (Persone) | RicciLuca |
| Collana | IMF Working Papers |
| Soggetto topico |
Debts, Public - Developing countries
Debts, Public Banks and Banking Finance: General Inflation Money and Monetary Policy Public Finance Interest Rates: Determination, Term Structure, and Effects International Financial Markets Debt Debt Management Sovereign Debt General Financial Markets: General (includes Measurement and Data) Monetary Policy Price Level Deflation Monetary Policy, Central Banking, and the Supply of Money and Credit: General Finance Public finance & taxation Banking Macroeconomics Monetary economics Emerging and frontier financial markets Public debt International reserves Credit default swap Financial markets Central banks Prices Money Financial services industry Foreign exchange reserves Credit |
| ISBN |
9781475568981
1475568983 9781475569001 1475569009 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910162944003321 |
|
Hadzi-Vaskov Metodij
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| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci
| Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci |
| Autore | Lu Yinqiu |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (22 p.) |
| Altri autori (Persone) | NeftciSalih |
| Collana | IMF Working Papers |
| Soggetto topico |
Prices - Developing countries
Commercial products - Economic aspects - Developing countries Revenue - Developing countries Options (Finance) - Developing countries Banks and Banking Investments: Commodities Investments: Options Macroeconomics Money and Monetary Policy Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Commodity Markets Monetary Policy, Central Banking, and the Supply of Money and Credit: General Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Finance Monetary economics Investment & securities Financial services law & regulation Options Commodity prices Credit default swap Commodities Hedging Derivative securities Prices Credit Commercial products Financial risk management |
| ISBN |
1-4623-9718-2
1-4527-9450-2 1-4518-6868-5 9786612840395 1-282-84039-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Smooth fluctuations in Commodity Revenue Collections-Option Transactions; A. Plain Vanilla Options; Figures; 1. A Put Option Structure; B. Risk Reversals; Tables; 1. Prices of ATM Options; 2. Prices of 20 Percent OTM Options; 2. A Zero Premium Risk Reversal Structure; C. Barrier Option Structures; 3. Prices of the Up-and-Out Put Options: H=120; 3. A Knock-out Option; III. Smooth Borrowing Cost-A Structured Product; A. The Instrument; B. Intermediary; 4. The Structure of the New Instrument; C. Pricing; 5 The Involvement of Investment Bank as an Intermediary |
| Record Nr. | UNINA-9910788247103321 |
|
Lu Yinqiu
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci
| Financial Instruments to Hedge Commodity Price Risk for Developing Countries / / Yinqiu Lu, Salih Neftci |
| Autore | Lu Yinqiu |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (22 p.) |
| Disciplina | 338.52091724 |
| Altri autori (Persone) | NeftciSalih |
| Collana | IMF Working Papers |
| Soggetto topico |
Prices - Developing countries
Commercial products - Economic aspects - Developing countries Revenue - Developing countries Options (Finance) - Developing countries Banks and Banking Capital and Ownership Structure Commercial products Commodities Commodity Markets Commodity prices Credit default swap Credit Derivative securities Finance Financial Instruments Financial Risk and Risk Management Financial risk management Financial services law & regulation Financing Policy Goodwill Hedging Institutional Investors Investment & securities Investments: Commodities Investments: Options Macroeconomics Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Options Pension Funds Prices Value of Firms |
| ISBN |
9786612840395
9781462397181 1462397182 9781452794501 1452794502 9781451868685 1451868685 9781282840393 1282840398 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Smooth fluctuations in Commodity Revenue Collections-Option Transactions; A. Plain Vanilla Options; Figures; 1. A Put Option Structure; B. Risk Reversals; Tables; 1. Prices of ATM Options; 2. Prices of 20 Percent OTM Options; 2. A Zero Premium Risk Reversal Structure; C. Barrier Option Structures; 3. Prices of the Up-and-Out Put Options: H=120; 3. A Knock-out Option; III. Smooth Borrowing Cost-A Structured Product; A. The Instrument; B. Intermediary; 4. The Structure of the New Instrument; C. Pricing; 5 The Involvement of Investment Bank as an Intermediary |
| Record Nr. | UNINA-9910956154303321 |
|
Lu Yinqiu
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
French Banks Amid the Global Financial Crisis / / Yingbin Xiao
| French Banks Amid the Global Financial Crisis / / Yingbin Xiao |
| Autore | Xiao Yingbin |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 22 p. : ill |
| Collana | IMF Working Papers |
| Soggetto topico |
Banks and banking - France
Global Financial Crisis, 2008-2009 Banks and Banking Investments: Stocks Money and Monetary Policy Banks Depository Institutions Micro Finance Institutions Mortgages Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Banking Monetary economics Investment & securities Credit default swap Stocks Foreign banks Commercial banks Banks and banking Credit Banks and banking, Foreign |
| ISBN |
1-4623-0733-7
1-4527-8134-6 1-4518-7348-4 9786612844089 1-282-84408-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788226803321 |
|
Xiao Yingbin
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
French Banks Amid the Global Financial Crisis / / Yingbin Xiao
| French Banks Amid the Global Financial Crisis / / Yingbin Xiao |
| Autore | Xiao Yingbin |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 22 p. : ill |
| Disciplina | 940.53;940.531813 |
| Collana | IMF Working Papers |
| Soggetto topico |
Banks and banking - France
Global Financial Crisis, 2008-2009 Banking Banks and Banking Banks and banking Banks and banking, Foreign Banks Commercial banks Credit default swap Credit Depository Institutions Financial Instruments Foreign banks Institutional Investors Investment & securities Investments: Stocks Micro Finance Institutions Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Mortgages Non-bank Financial Institutions Pension Funds Stocks |
| ISBN |
9786612844089
9781462307333 1462307337 9781452781341 1452781346 9781451873481 1451873484 9781282844087 1282844083 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Banking and Supervisory Structure -- III. International Comparative Analyses -- A. Profitability -- B. Asset quality -- C. Capital adequacy -- D. Leverage -- E. Quality of capital -- F. Funding -- IV. Analyses of Business and Exposures -- V. An Event Study of the French Banking Sector Support -- VI. Conclusions -- References -- Figures -- 1. Profitability -- 2. Asset Quality -- 3. Capital Adequacy -- 4. Leverage -- 5. Capital Quality -- 6. Funding -- 7. Liquidity -- 8. Business Lines -- 9. Foreign Exposure -- 10. Emerging Market Exposure -- 11. Writedowns, Losses, and Capital Raised -- 12. CDS Spreads -- 13. Impact on Debt -- 14. Impact on Equity -- 15. Share of Capital Injections into Debt. |
| Record Nr. | UNINA-9910973827703321 |
|
Xiao Yingbin
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau
| Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
| Autore | Chan-Lau Jorge |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (18 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models Corporate Finance Exports and Imports Investments: Stocks Money and Monetary Policy International Lending and Debt Problems Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Corporate Finance and Governance: General International economics Monetary economics Investment & securities Ownership & organization of enterprises Debt default Stocks Credit default swap Credit Corporate sector Debts, External Business enterprises |
| 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-9910788521903321 |
|
Chan-Lau Jorge
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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