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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 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-9910827377403321 |
|
Goodhart C
|
||
| 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 |
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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 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 |
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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 | 1-4755-6900-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910162944003321 |
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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 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-9910807490003321 |
|
Lu Yinqiu
|
||
| 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 |
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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 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 |
| 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-9910817622403321 |
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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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