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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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First; A Market-Based Approach to Evaluate Financial System Risk and Stability
Avesani, Renzo G. - International Monetary Fund (IMF) - 2005
This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial...
Persistent link: https://www.econbiz.de/10005264101
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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
Persistent link: https://www.econbiz.de/10009327870
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Is Foreign Debt Portfolio Management Efficient in Emerging Economies?
Hussein, Khaled - International Monetary Fund (IMF) - 2001
This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...
Persistent link: https://www.econbiz.de/10005599482
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Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
Liu, Kexue; Salvati, Jean; Avesani, Renzo G.; … - International Monetary Fund (IMF) - 2006
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...
Persistent link: https://www.econbiz.de/10005604852
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A Framework for the Surveillance of Derivative Activities
Gutierrez, Eva - International Monetary Fund (IMF) - 2005
This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervisory purposes, and/or information collected by market participants for the purpose...
Persistent link: https://www.econbiz.de/10005263815
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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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Credit Derivatives; Systemic Risks and Policy Options?
Kiff, John; Elliott, Jennifer A.; Kazarian, Elias G.; … - International Monetary Fund (IMF) - 2009
Credit derivative markets are largely unregulated, but calls are increasingly being made for changes to this "hands off …. The purpose of this paper is to address two basic questions: (i) do credit derivative markets increase systemic risk; and … of credit derivative markets and recent events, followed by an assessment of their recent association with systemic risk …
Persistent link: https://www.econbiz.de/10008497598
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The Systemic Regulation of Credit Rating Agencies and Rated Markets
Sy, Amadou N. R. - International Monetary Fund (IMF) - 2009
Credit ratings have contributed to the current financial crisis. Proposals to regulate credit rating agencies focus on micro-prudential issues and aim at reducing conflicts of interest and increasing transparency and competition. In contrast, this paper argues that macro-prudential regulation is...
Persistent link: https://www.econbiz.de/10008528614
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Modern Banking and OTC Derivatives Markets; The Transformation of Global Finance and its Implications for Systemic Risk
Drees, Burkhard; Schinasi, Garry J.; Kramer, Charles … - International Monetary Fund (IMF) - 2001
Persistent link: https://www.econbiz.de/10005590943