Counterparty risk in the over-the-counter derivates market / / Miguel A. Segoviano and Manmohan Singh |
Autore | Segoviano Basurto Miguel A |
Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
Descrizione fisica | 1 online resource (21 pages) : illustrations (some color), tables |
Disciplina | 332.645 |
Altri autori (Persone) | SinghManmohan |
Collana | IMF working paper |
Soggetto topico |
Derivative securities - Econometric models
Over-the-counter markets - Econometric models Risk - Econometric models |
Soggetto genere / forma | Electronic books. |
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-9910464259903321 |
Segoviano Basurto Miguel A | ||
[Washington, District of Columbia] : , : 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 |
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 |
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 | ||
|