Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Banking stability measures [[electronic resource] /] / prepared by Miguel A. Segoviano and Charles Goodhart
| Banking stability measures [[electronic resource] /] / prepared by Miguel A. Segoviano and Charles Goodhart |
| Autore | Segoviano Miguel A |
| Pubbl/distr/stampa | [Washington D.C.], : International Monetary Fund, 2009 |
| Descrizione fisica | 1 online resource (56 p.) |
| Altri autori (Persone) | GoodhartC. A. E (Charles Albert Eric) |
| Collana | IMF working paper |
| Soggetto topico |
Economic stabilization
Banks and banking |
| Soggetto genere / forma | Electronic books. |
| 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-9910464229503321 |
Segoviano Miguel A
|
||
| [Washington D.C.], : International Monetary Fund, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Default, credit growth, and asset prices [[electronic resource] /] / Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann
| Default, credit growth, and asset prices [[electronic resource] /] / Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann |
| Autore | Segoviano Miguel A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |
| Descrizione fisica | 1 online resource (44 p.) |
| Altri autori (Persone) |
GoodhartC. A. E (Charles Albert Eric)
HofmannBoris |
| Collana | IMF working paper |
| Soggetto topico |
Asset allocation - Econometric models
Credit - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7401-8
1-4527-4912-4 1-283-51287-4 1-4519-0936-5 9786613825322 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. BANK CREDIT AND PROPERTY PRICES""; ""III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES""; ""IV. RESULTS""; ""V. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910464845003321 |
|
Segoviano Miguel A
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Portfolio credit risk and macroeconomic shocks [[electronic resource] ] : applications to stress testing under data-restricted environments / / prepared by Miguel A. Segoviano Basurto and Pablo Padilla
| Portfolio credit risk and macroeconomic shocks [[electronic resource] ] : applications to stress testing under data-restricted environments / / prepared by Miguel A. Segoviano Basurto and Pablo Padilla |
| Autore | Segoviano Miguel A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (52 p.) |
| Altri autori (Persone) | PadillaPablo |
| Collana | IMF working paper |
| Soggetto topico |
Risk
Bank investments Bank loans Bank capital |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-3062-2
1-4527-6224-4 1-283-51662-4 9786613829078 1-4519-0996-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. PORTFOLIO CREDIT RISK""; ""III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT""; ""IV. PROPOSED PROCEDURE FOR STRESS TESTING""; ""V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK""; ""VI. ANALYSIS OF STRESS TESTING RESULTS""; ""VII. CONCLUSIONS""; ""Appendix 1: Entropy in a Nutshell""; ""References"" |
| Record Nr. | UNINA-9910464354103321 |
|
Segoviano Miguel A
|
||
| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||