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Assessing the Cost of Financial Regulation / / Douglas Elliott, Andre Santos
| Assessing the Cost of Financial Regulation / / Douglas Elliott, Andre Santos |
| Autore | Elliott Douglas |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (83 p.) |
| Disciplina | 346.436082 |
| Altri autori (Persone) | SantosAndre |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial institutions - Law and legislation
Bank capital - Law and legislation Bank loans Banks and Banking Finance: General Money and Monetary Policy Financial Risk Management Banks Depository Institutions Micro Finance Institutions Mortgages Investment Banking Venture Capital Brokerage Ratings and Ratings Agencies Financial Institutions and Services: Government Policy and Regulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: Government Policy and Regulation Monetary Policy, Central Banking, and the Supply of Money and Credit: General Financial Crises Financial services law & regulation Banking Monetary economics Economic & financial crises & disasters Liquidity requirements Basel III Credit Capital adequacy requirements Financial regulation and supervision Money Financial crises Banks and banking State supervision Asset requirements |
| ISBN |
1-4755-1198-1
1-4755-1197-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Executive Summary; Introduction; I. Literature Review; II. Qualitative Assessments of the Cost Impact of Regulatory Changes; Tables; 1. Basel III Impact on Credit and GDP Growth; 2. Major Regulatory Initiatives; 3. Impact of Major Regulatory Initiatives on U.S. Financial Institutions; III. Quantitative Analysis of Stand-Alone Reforms; A. Choice of Baseline Scenario; B. Translating Cost Changes to Credit Impacts; C. Estimating Changes to Lending rates; D. Capital Requirements; 4. Pro-forma Basel III Common Equity Tier 1 Capital Ratios by Region, End-2010; Figures
1. Effect of Basel III Changes on Common Equity Tier 1 Capital Ratios 5. Planned Mitigating Actions by U.S., European, and Japanese Banks; 6. Pro-forma Basel III Common Equity Tier 1 Capital Ratios by Bank Business; 2. Effect of Basel 2.5 and III on Common Equity Tier Capital Ratios; 7. Effects of Higher Capital Levels on Lending Rates; E. Liquidity Requirements; 8. Pro-forma Basel III Liquidity Ratios, End-2010; 9. Estimated Effects of Liquidity Changes on Lending Rates; F. Derivatives Requirements; 10. Effects of Derivatives Reforms on Banks per Year; G. Securitization Requirements 11. Estimated Effects of Derivatives Changes on Lending RatesH. Taxes and Fees; I. Integrated Effects on Credit Provision; 12. Annual Fees and Taxes on European and U.S. Banks; 13. Estimated Effects of Tax and Fee Changes on Lending Rates; 14. Cumulative Impact of Regulatory Reforms on Lending rates; 3. Effects of Changes in Key Parameter Assumptions on Lending Rates; IV. Uncertainties and Areas for Further Research; V. Conclusion; Appendix I. Supplementary Tables; Appendixes; I. Supplementary Tables; 16. European, Japanese, and U.S. Banks in the Sample 17. Planned De-Risking Measures, End-2010 Appendix II. Assumptions for the Credit Pricing Equation; II. Assumptions for the Credit Pricing Equation; References |
| Record Nr. | UNINA-9910786295603321 |
Elliott Douglas
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Austria : : Publication of Financial Sector Assessment Program Documentation—Detailed Assessment of Basel Core Principles for Effective Banking Supervision
| Austria : : Publication of Financial Sector Assessment Program Documentation—Detailed Assessment of Basel Core Principles for Effective Banking Supervision |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2014 |
| Descrizione fisica | 1 online resource (323 pages) |
| Disciplina | 332.15 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Banks and banking, International
Banks and banking International finance Accounting Banks and Banking Public Finance Banks Depository Institutions Micro Finance Institutions Mortgages Public Administration Public Sector Accounting and Audits Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Taxation, Subsidies, and Revenue: General Auditing Banking Management accounting & bookkeeping Financial services law & regulation Financial reporting, financial statements Public finance & taxation Internal audit Market risk Financial statements Legal support in revenue administration Public financial management (PFM) Financial regulation and supervision Revenue administration Credit risk Auditing, Internal Financial risk management Finance, Public Revenue |
| ISBN |
1-4843-7546-7
1-4843-7537-8 1-4843-7565-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; CONTENTS; Glossary; INTRODUCTION; INSTITUTIONAL AND MARKET STRUCTURE-OVERVIEW; PRECONDITIONS FOR EFFECTIVE BANKING SUPERVISION; DETAILED ASSESSMENT; A. Supervisory Powers, Responsibilities and Functions; B. Prudential Regulations and Requirements; SUMMARY COMPLIANCE WITH THE BASEL CORE PRINCIPLES; A. Summary Compliance with the Basel Core Principles-Detailed Assessment Report; RECOMMENDED ACTIONS TO IMPROVE COMPLIANCE WITH THE BASEL CORE PRINCIPLES AND THE EFFECTIVENESS OF REGULATORY AND SUPERVISORY FRAMEWORKS; AUTHORITIES' RESPONSE |
| Record Nr. | UNINA-9910789008603321 |
| Washington, D.C. : , : International Monetary Fund, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Bank Risk-Taking and Competition Revisited : : New Theory and New Evidence / / Gianni De Nicolo, Abu M. Jalal, John Boyd
| Bank Risk-Taking and Competition Revisited : : New Theory and New Evidence / / Gianni De Nicolo, Abu M. Jalal, John Boyd |
| Autore | De Nicolo Gianni |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (51 p.) |
| Altri autori (Persone) |
JalalAbu M
BoydJohn |
| Collana | IMF Working Papers |
| Soggetto topico |
Bank failures - Econometric models
Competition - Econometric models Bank loans - Econometric models Risk - Econometric models Banks and Banking Finance: General Investments: Bonds Macroeconomics Industries: Financial Services Econometrics Banks Depository Institutions Micro Finance Institutions Mortgages Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Oligopoly and Other Imperfect Markets General Financial Markets: General (includes Measurement and Data) Personal Income, Wealth, and Their Distributions Estimation Banking Finance Investment & securities Econometrics & economic statistics Loans Bonds Competition Personal income Financial institutions National accounts Financial markets Estimation techniques Econometric analysis Banks and banking Income Econometric models |
| ISBN |
1-4623-4777-0
1-4527-7939-2 1-283-45039-9 9786613823663 1-4519-1010-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Bank Risk-Taking and Competition Revisited: New Theory and New Evidence""; ""Contents""; ""I. INTRODUCTION""; ""II. THEORY""; ""III. EVIDENCE""; ""IV. CONCLUSION""; ""Appendix I. Pareto Dominant Equilibria""; ""References"" |
| Record Nr. | UNINA-9910788413103321 |
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De Nicolo Gianni
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Banking and Trading / / Arnoud Boot, Lev Ratnovski
| Banking and Trading / / Arnoud Boot, Lev Ratnovski |
| Autore | Boot Arnoud |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (49 p.) |
| Altri autori (Persone) | RatnovskiLev |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Banks and banking
Stocks Banks and Banking Finance: General Taxation Industries: Financial Services Money and Monetary Policy Financial Risk Management Banks Depository Institutions Micro Finance Institutions Mortgages Investment Banking Venture Capital Brokerage Ratings and Ratings Agencies Financial Institutions and Services: Government Policy and Regulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: Government Policy and Regulation Taxation, Subsidies, and Revenue: General Monetary Policy, Central Banking, and the Supply of Money and Credit: General Financial Crises Banking Finance Public finance & taxation Monetary economics Economic & financial crises & disasters Lines of credit Moral hazard Bank soundness Tax incentives Financial institutions Financial sector policy and analysis Credit Money Financial crises Loans Financial risk management |
| ISBN |
1-4755-1248-1
1-4755-1246-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Relationship to the Literature; III. Model; A. Approach; B. Credit Constraints; C. Banking; D. Trading; IV. Benefits of Conglomeration; V. Time Inconsistency of Capital Allocation; A. Setup: Long-term Banking; B. The Consequences of Time Inconsistency; C. Cost of Conglomeration under Time Inconsistency; VI. Trading as Risk-Shifting; A. Setup: Risky Trading; B. Risk-Shifting; C. The Interaction of Time Inconsistency and Risk Shifting; VII. Discussion; A. Front-loaded Income in Relationship Banking; B. External Equity and Internal Capital Allocation
C. Policy Implications VIII. Conclusion; References; Figures; 1. The Timeline; 2. The Timeline with Time Inconsistency; 3. Relationship Banking Allocation R as a Function of Trading Opportunities; 4. The Volume of Banking (R) and Trading (T), and Profits (Π)under Conglomerated Banking; 5. The Volumes of Banking (R)and Trading (T), and Profits (Π) with Risk-shifting; 6. Time Inconsistency Arises due to a Higher Return to Trading under Risk-shifting ("Effect 1"); 7. Risk-shifting Arises due to a Higher Volume of Trading, Driven by Time Inconsistency ("Effect 2") |
| Record Nr. | UNINA-9910786474303321 |
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Boot Arnoud
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Belgium : : Detailed Assessment of Compliance with the Basel Core Principles for Effective Banking Supervision
| Belgium : : Detailed Assessment of Compliance with the Basel Core Principles for Effective Banking Supervision |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2013 |
| Descrizione fisica | 1 online resource (178 p.) |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Banks and banking - Belgium
Banks and Banking Money and Monetary Policy Public Finance Banking Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: Government Policy and Regulation Monetary Policy, Central Banking, and the Supply of Money and Credit: General Public Administration Public Sector Accounting and Audits Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Banking law Monetary economics Management accounting & bookkeeping Financial services law & regulation Bank legislation Credit External audit Market risk Financial regulation and supervision Money Credit risk Public financial management (PFM) Banks and banking Financial services industry Law and legislation Auditing Financial risk management |
| ISBN |
1-4843-5651-9
1-4843-7496-7 1-4843-5327-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; CONTENTS; GLOSSARY; SUMMARY, KEY FINDINGS, AND RECOMMENDATIONS; A. Introduction; B. Information and Methodology Used for Assessment; INSTITUTIONAL AND MACROECONOMIC SETTING AND MARKET STRUCTURE OVERVIEW; A. Preconditions for Effective Banking Supervision; B. Main Findings; TABLES; 1. Summary Compliance with the Basel Core Principles-Detailed Assessments; 2. Recommended Action Plan to Improve Compliance with the Basel Core Principles; C. Authorities' Response to the Assessment; DETAILED ASSESSMENT; 3. Detailed Assessment of Compliance with the Basel Core Principles |
| Record Nr. | UNINA-9910779761203321 |
| Washington, D.C. : , : International Monetary Fund, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Canada : : Financial Sector Assessment Program-Stress Testing-Technical Note
| Canada : : Financial Sector Assessment Program-Stress Testing-Technical Note |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2014 |
| Descrizione fisica | 1 online resource (102 p.) |
| Disciplina | 332.1091724 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Finance - Developing countries - Evaluation
International finance - Developing countries Banks and Banking Finance: General Macroeconomics Money and Monetary Policy Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Personal Income, Wealth, and Their Distributions Financial Institutions and Services: Government Policy and Regulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banking Finance Financial services law & regulation Monetary economics Personal income Stress testing Credit risk Credit National accounts Financial sector policy and analysis Financial regulation and supervision Money Loans Financial institutions Financial risk management Banks and banking Income |
| ISBN |
1-4755-1438-7
1-4843-3088-9 1-4843-3118-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Glossary; INTRODUCTION AND OVERVIEW; A. Overview of Stress Tests; TABLES; 1. Stress Testing Recommendations; SCENARIOS; BANKING SECTOR-SOLVENCY STRESS TESTS; BANKING SECTOR-LIQUIDITY AND FUNDING STRESS TESTS-INDIVIDUAL AND NETWORK EFFECTS; A. Bottom-up Stress Test; A. Recommendations and Policy Implications; 2. Regulatory and Supervisory Capital Requirements; 3. Mapping Economic Sectors from the BU into Economic Sectors Used in BoC Estimation of PDs; 4. Capital Conservation Rule for Dividends Distribution; 5. IRBBB Spreads Under the Stress-test Scenario
6. Trading Book Risk Parameters Under the Stress-test Scenario B. IMF Top-down Stress Test; FIGURES; 1. IMF Top Down Approach; 7. Mapping Basel II Asset Classes and Exposures by Economic Sectors into New Basel II Asset Classes; 8. Dividends Distribution Schedule; 2. Geographical and Sectoral Distribution of Losses and Exposures; 3. IMF TD Solvency Stress Test Results-Sensitivity Analysis; C. OSFI Top-down Stress Test; BOX; 1. OSFI Algorithm to Project Loan Book; D. Reconciliation of Results; 9. Main Differences Between Different Approaches; E. Recommendations and Policy Implications 4. Macro-financial Risk Assessment Framework (MFRAF) of the BoC5. MFRAF Modules; 6. MFRAF Modulus Timing; 7. The BoC Liquidity and Network Stress Test Results, Baseline Scenario; 8. Aggregate Loss Distributions, Baseline Scenario; 9. The BoC Liquidity and Network Stress Test Results, Adverse Scenario; 10. Aggregate Loss Distributions, Adverse Scenario; LIFE INSURANCE SECTOR-SOLVENCY STRESS TEST; 11. Total MCCSR Ratio in Baseline and Adverse Scenario; 12. Total Tier 1 Ratio in Baseline and Adverse Scenario; 13. Net Income in Baseline and Adverse Scenario; CMHC SOLVENCY STRESS TEST 14. Contribution to MCCSR Deviation from Baseline 10. FSIs: Big 6 versus the Rest of the Banking System; ANNEX; I. Statistical Annex; 15. Developments in Banking Sector; 11. Summary of Banks' Stress Testing Results; 16. Scenarios-Canada, Main Variables; 17. Scenarios-US, Euro Area, Other, Main Variables; 18. IMF Top Down Model of Income Statement-Interest Income; 19. IMF Top Down Model of Income Statement-Interest Expense; 20. IMF Top Down Model of Income Statement-Trading Income; 21. IMF Top Down Model of Income Statement-Non-interest Income 22. IMF Top Down Model of Income Statement-Non-interest Expense 23. IMF Top Down Assumptions-Loans, Deposits; 24. IMF Top Down Assumptions-Loans, Balance Sheet; 25. Solvency Stress Test Results; 26. Drivers of Stress Test Results-Contributions to CET1 Change; 27. Drivers of Stress Test Results-Contributions to Net Income; 28. Net Income and RWAs-Comparison; 29. Net Income and RWAs-Comparison; 30. Parameters of RWAs and Expected Losses-Comparison; 31. Recapitalization Needs-as Percent in gross income; 12. Liquid and Illiquid Assets of the BSL Metric-Haircuts Calibration 13. Outflows of BSL Metric-Run-off Rates Calibration |
| Record Nr. | UNINA-9910791044003321 |
| Washington, D.C. : , : International Monetary Fund, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Canada : : Financial Sector Assessment Program-Basel Core Principles for Effective Banking Supervision-Detailed Assessment of Observance
| Canada : : Financial Sector Assessment Program-Basel Core Principles for Effective Banking Supervision-Detailed Assessment of Observance |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2014 |
| Descrizione fisica | 1 online resource (240 p.) |
| Disciplina | 338.9 |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Economic development - Canada
International finance - Canada Banks and Banking Macroeconomics Banks Depository Institutions Micro Finance Institutions Mortgages Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Labor Economics: General Banking Financial services law & regulation Labour income economics Operational risk Credit risk Market risk Foreign banks Financial regulation and supervision Financial institutions Labor Banks and banking Financial risk management Banks and banking, Foreign Labor economics |
| ISBN |
1-4843-3202-4
1-4755-2363-7 1-4843-3233-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; CONTENTS; GLOSSARY; SUMMARY, KEY FINDINGS, AND RECOMMENDATIONS; A. Introduction; B. Information and Methodology Used for Assessment; C. Overview of Institutional Setting and Market Structure; TABLE; 1. Financial Sector Structure, end 2012; D. Preconditions for Effective Banking Supervision; DETAILED ASSESSMENT; A. Supervisory Powers, Responsibilities, and Functions; B. Prudential Regulations and Requirements; SUMMARY COMPLIANCE WITH THE BASEL CORE PRINCIPLES
RECOMMENDED ACTIONS TO IMPROVE COMPLIANCE WITH THE BASEL CORE PRINCIPLES AND THE EFFECTIVENESS OF REGULATORY AND SUPERVISORY FRAMEWORKS AUTHORITIES' RESPONSE |
| Record Nr. | UNINA-9910791049503321 |
| Washington, D.C. : , : International Monetary Fund, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Commodities and the Market Price of Risk / / Shaun Roache
| Commodities and the Market Price of Risk / / Shaun Roache |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Risk - Econometric models
Commodity futures - Econometric models Capital assets pricing model Banks and Banking Investments: Commodities Investments: General Investments: Futures Commodity Markets Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment Capital Intangible Capital Capacity Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Investment & securities Finance Macroeconomics Financial services law & regulation Commodities Real interest rates Futures Return on investment Market risk Commercial products Interest rates Derivative securities Saving and investment Financial risk management |
| ISBN |
1-4623-6790-9
1-4518-7079-5 1-4519-8829-X 1-282-84172-6 9786612841729 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910788345503321 |
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Roache Shaun
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Cost of Aggressive Sovereign Debt Policies : : How Much is theprivate Sector Affected? / / Christoph Trebesch
| The Cost of Aggressive Sovereign Debt Policies : : How Much is theprivate Sector Affected? / / Christoph Trebesch |
| Autore | Trebesch Christoph |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (37 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Debts, Public
Fiscal policy Exports and Imports Financial Risk Management Money and Monetary Policy Public Finance International Lending and Debt Problems Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Financial Crises Monetary Policy, Central Banking, and the Supply of Money and Credit: General Debt Debt Management Sovereign Debt Economic & financial crises & disasters International economics Monetary economics Finance Public finance & taxation Financial crises Debt default External debt Credit Debt restructuring Money Public debt Debts, External |
| ISBN |
1-4623-6284-2
1-4527-0366-3 9786612842511 1-4518-7176-7 1-282-84251-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Related Literature; A. Debt Crises and Private Sector Access to Credit; B. The Role of Cooperation and Policy Signals; III. Econometric Methodology; A. Previous Approaches; B. Estimated Model; C. Dependent Variable: Foreign Credit to the Private Sector; D. Measuring Crisis Episodes; IV. Data: The Index of Coerciveness; A. Composition of the Index; B. Coding of the Index; V. Estimation Issues: Controlling for Shocks, Politics and Fundamentals; VI. Discussion of Results; A. Main Results; B. Effects of Individual Coercive Policies; C. Robustness Analysis
VII. Concluding RemarksTables; 1. Emerging Market Countries Included in the Estimations; 2. List of Control Variables; 3. Effect of Aggressive Debt Policies on Total Amount Borrowed; 4. Default Effects and Aggressive Debt Policies During Default; 5. Effect of Individual Coercive Actions (9 Sub-Indicators); 6. Robustness Tests; References |
| Record Nr. | UNINA-9910788347303321 |
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Trebesch Christoph
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Credit Risk Spreads in Local and Foreign Currencies / / Zvi Wiener, Dan Galai
| Credit Risk Spreads in Local and Foreign Currencies / / Zvi Wiener, Dan Galai |
| Autore | Wiener Zvi |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (22 p.) |
| Altri autori (Persone) | GalaiDan |
| Collana | IMF Working Papers |
| Soggetto topico |
Credit - Mathematical models
Financial risk management Banks and Banking Foreign Exchange Investments: Bonds Money and Monetary Policy Contingent Pricing Futures Pricing option pricing International Financial Markets Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: General (includes Measurement and Data) Monetary Policy, Central Banking, and the Supply of Money and Credit: General Monetary economics Currency Foreign exchange Financial services law & regulation Investment & securities Currencies Exchange rates Credit risk Bonds Credit Money Financial regulation and supervision Financial institutions |
| ISBN |
1-4623-2752-4
1-4527-1980-2 1-4518-7257-7 9786612843259 1-282-84325-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. The Model; III. Numerical Examples and Illustrations; Tables; 1. The Euro-Denominated Debt Spread, Face Value, PD, and the Cost of Credit Risk as a Function of Correlations; IV. Credit Spreads and Modigliani and Miller Propositions; Figures; 1. Spreads on Foreign-Currency Bonds and Correlations; 2. Betas of Stocks and Foreign Currency Bonds for Various Correlations; 2. The Expected Return on Stock (yS) as a Function of the B/S Ratio; V. Implications and Conclusions; 3. The Expected Return on Stock yS as a Function of the B/S Ratio and Correlation Coefficient ρ
4. FE as a Function of FAppendixes; I. Determination of the Face Value of Debt in the Foreign Currency; 5. FE as a Function of F; II. Firm Value, Exchange Rates, and Inflation; References |
| Record Nr. | UNINA-9910788334703321 |
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Wiener Zvi
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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