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On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities
Renault, Olivier; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...
Persistent link: https://www.econbiz.de/10005858909
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Optimal Portfolio Policies of Levered Investor in Presence of Default Risk
Saliasi, Entela - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper presents a utility-based approach to value the borrower optimal behavior in presence of credit risk. The paper solves for the dynamic portfolio choices of a borrower. We thereby show that the presence of debt leads to a substantial modification in the borrower's behavior across states...
Persistent link: https://www.econbiz.de/10005858580
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A Simple Model of Credit Contagion
Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...
Persistent link: https://www.econbiz.de/10005858362
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Impact of the global crisis on banking sector soundness in Asian low-income countries
Ree, Jack Joo K. - 2011
Persistent link: https://www.econbiz.de/10009425652
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Montenegro Financial Sector Assessment Program : Banking Supervision and Regulation
International Monetary Fund - 2016
) update conducted jointly by the International Monetary Fund (IMF) and World Bank (WB) in September 2015. As agreed with the …
Persistent link: https://www.econbiz.de/10012644630
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COVID-19 : The Regulatory and Supervisory Implications for the Banking Sector
International Monetary Fund - 2020
This note provides a set of high-level recommendations that can guide national regulatory and supervisory responses to the COVID-19 (coronavirus) pandemic and offers an overview of measures taken across jurisdictions to date. The banking sector plays a critical role in mitigating the...
Persistent link: https://www.econbiz.de/10012647142
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Russian Federation Financial Sector Assessment Program : Bank Resolution and Crisis Management Framework
International Monetary Fund - 2016
The experiences of past financial crises have strengthened the Russian bank resolution framework. The resolution … framework has been effective in preserving financial stability. The effectiveness of bank resolution could be improved … public funds. To ensure adequate bank capitalization, a comprehensive review of banks' asset portfolios and collateral …
Persistent link: https://www.econbiz.de/10012246711
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Bulgaria Financial Sector Assessment Program : Stocktaking of Progress Achieved by the Bulgarian National Bank in Strengthening Banking Supervision
International Monetary Fund - 2017
made by the IMF and the World Bank in their 2015 assessment report on the observance of Basel Core Principles (BCPs) for … National Bank (BNB) to address the shortcomings found in the domestic supervisory regime. It also reflects the regulatory and …
Persistent link: https://www.econbiz.de/10012247487
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Banking soundness and monetary policy : issues and experiences in the global economy ; papers presented at the Seventh Seminar on Central Banking Washington, D.C. January 27-31, 19...
Enoch, Charles (ed.); Green, John H. (contributor) - International Monetary Fund - 1997
Persistent link: https://www.econbiz.de/10013548662
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Poverty Reduction and Growth Trust : 2017 Borrowing Agreements with the Bank of Spain, the Government of Japan and the People's Bank of China
International Monetary Fund - 2017
the Poverty Reduction and Growth Trust (PRGT or Trust), has entered into a new borrowing agreement with the Bank of … the People's Bank of China (China). The new borrowing agreement with Spain, the amendments to the NPA with Japan, and the …
Persistent link: https://www.econbiz.de/10014408739