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Equilibrium in the Insurance Industry: Price and Probability of Insolvency

Strauss, Jason - Volkswirtschaftliche Fakultät, … - 2007

The goal of this essay is to show an insurance market equilibrium defined by an insurance product price and a probability of insolvency for the insurer(s).

Persistent link: https://www.econbiz.de/10005260096

The Use (and Abuse) of CDS Spreads During Distress

Spackman, Carolyne; Singh, Manmohan - International Monetary Fund (IMF) - 2009

Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...

Persistent link: https://www.econbiz.de/10005826491

Price Regulation, Market Exit, and Financial Leverage of Canadian Property-Liability Insurers

Strauss, Jason - Volkswirtschaftliche Fakultät, … - 2007

regulators. Prior research suggests that firms increase their financial leverage, and thus their probability of bankruptcy and … expected bankruptcy costs, in order to mitigate the severity of binding price ceilings. Although financial leverage can be … insurers as well as the probability of bankruptcy, the non-selection probability. …

Persistent link: https://www.econbiz.de/10005837519

Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties

Aitken, James; Singh, Manmohan - International Monetary Fund (IMF) - 2009

Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year. We estimate that the...

Persistent link: https://www.econbiz.de/10008528640

Making OTC Derivatives Safe; A Fresh Look

Singh, Manmohan - International Monetary Fund (IMF) - 2011

Recent regulatory efforts, especially in the U.S. and Europe, are aimed at reducing moral hazard so that the next financial crisis is not bailed out by tax payers. This paper looks at the possibility that central counterparties (CCPs) may be too-big-to-fail entities in the making. The present...

Persistent link: https://www.econbiz.de/10008876583