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Exchange Rate Risk Measurement and Management; Issues and Approaches for Firms
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and … presents some of the main hedging instruments in the OTC and exchange-traded markets. The paper also provides some data on the … use of financial derivatives instruments, and hedging practices by U.S. firms. …
Persistent link: https://www.econbiz.de/10005825991
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Commodities and the Market Price of Risk
Roache, Shaun K. - International Monetary Fund (IMF) - 2008
Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity...
Persistent link: https://www.econbiz.de/10005826345
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The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions
Ong, Li L.; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually...
Persistent link: https://www.econbiz.de/10005826449
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Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings
Sy, Amadou N. R. - International Monetary Fund (IMF) - 2005
The large holdings of government securities by banks in India draw attention to their risk as interest rates are at historical low levels. This paper measures such a risk using duration and value-at-risk methods and assesses its current management by banks. The main finding is that some public...
Persistent link: https://www.econbiz.de/10005826476
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Country Insurance Using Financial Instruments
Ricci, Luca Antonio; Chamon, Marcos; Zhang, Yuanyan Sophia - International Monetary Fund (IMF) - 2011
instruments can explain much of the in-sample variation in borrowing spreads, this fails to materialize in hedging strategies that … and innovation costs could justify the limited interest for this type of hedging in practice …
Persistent link: https://www.econbiz.de/10009203536
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Possible Unintended Consequences of Basel III and Solvency II
International Monetary Fund (IMF); International … - 2011
In today's financial system, complex financial institutions are connected through an opaque network of financial exposures. These connections contribute to financial deepening and greater savings allocation efficiency, but are also unstable channels of contagion. Basel III and Solvency II should...
Persistent link: https://www.econbiz.de/10009203537
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Measuring Systemic Risk-Adjusted Liquidity (SRL); A Model Approach
Jobst, Andreas - International Monetary Fund (IMF) - 2012
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model...
Persistent link: https://www.econbiz.de/10011242398
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Mexico; Review Under the Flexible Credit Line Arrangement: Staff Report and Press Release on the Executive Board Discussion
International Monetary Fund (IMF); International … - 2009
Mexico’s strong policy framework has helped cushion the impact of the global crisis. The staff report highlights Mexico’s review under the Flexible Credit Line Arrangement. The flexible exchange rate has adjusted, the inflation targeting framework has provided an anchor for...
Persistent link: https://www.econbiz.de/10011242585
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Mexico; Financial Sector Assessment Program Update: Technical Note: Risk Management Practices and Stress Tests of Commercial Banks, The Insurance Sector, and the Derivatives Exchan...
International Monetary Fund (IMF); International … - 2007
This technical note on Mexico’s Financial Sector Assessment Program update presents an overview of the risk management practices and stress test results carried out for the Mexican commercial banks and the insurance sector. The stress test results include the reporting of scenario...
Persistent link: https://www.econbiz.de/10011242690
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Republic of Korea; 2007 Article IV Consultation: Staff Report; Staff Supplement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Directo...
International Monetary Fund (IMF); International … - 2007
This 2007 Article IV Consultation highlights that the Republic of Korea is enjoying its longest uninterrupted period of economic expansion since the Asian crisis. Growth reached 5 percent in 2006, buoyed by strong exports, and is only expected to slow marginally to 4¾ percent this year. The...
Persistent link: https://www.econbiz.de/10011242953