Counterparty Risk in the Over-The-Counter Derivatives Market

The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one or more banks or primary broker-dealers. We then stress the importance of ""netting"" within the OTC derivative contracts. Our methodology shows that, even using data from before the worsening of the crisis in late Summer 2008

MoreLess

Year of publication:	2008
Authors:	Singh, Manmohan
Other Persons:	Segoviano Basurto, Miguel A. (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Derivat \| Derivative \| OTC-Handel \| OTC market \| Finanzkrise \| Financial crisis

Online Resource

Check full text access |

More access options

ebookcentral.proquest.com

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (32 p)
Series:	IMF Working Papers
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Definitions and Methodology; A. Counterparty Risk; B. Exposure of the Financial System to Counterparty Risk; 1. Global OTC Derivatives as of December 2007; 2. Global OTC Derivatives Market as of December 2007; C. Distress Dependence in the Financial System and Conditional Probability of Distress of Specific Financial Institutions; 1. Default Dependence Matrix; 1. Distress Dependence; 3. The FinancialSystem's Multivariate Density; D. Loss Scenarios; 4. Probability that at Least one Financial Institution Fails to Deliver 5. Probability that Exactly one Financial Institution Fails to DeliverIII. Counterparty Risk: Empirical Estimation; A. Counterparty Risk Exposure; 6. OTC Derivatives: Notional Amounts as of end of March 2008; 7. OTC Derivatives: Counterparty Liabilities as of end of March 2008; B. Conditional Probability of Distress of Financial Institutions; 8. Probabilities of Distress of Financial Institutions Included in this Study; 2. Distress Dependence Matrix; 3. Losses Under Alternative Scenarios; 4. Extrapolated Total Losses Under Alternative Scenarios; 9. Fed's Balance Sheet as of April 23, 2008 IV. Conclusion and Policy ImplicationsReferences; Footnotes
ISBN:	978-1-4518-7116-6 ; 978-1-4527-3091-2 ; 978-1-4518-7116-6
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012677372