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Market Signals and the Cost of Credit Risk Protection: An Analysis of CDS Settlement Auctions
Zanforlin, L.; Kanazawa, Nobuyuki - International Monetary Fund (IMF) - 2014
of the defaulted bonds as established at the CDS settlement auctions. We observe that the post-default recovery rates at … that are deliverable at the auctions imply probabilities of default that are systematically different than the default … both to the CDS market microstructure at the time of the settlement auction and to the general macroeconomic background. We …
Persistent link: https://www.econbiz.de/10011123842
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Managing Financial Crises; Recent Experience and Lessons for Latin America
Kincaid, G. Russell; Collyns, Charles - International Monetary Fund (IMF) - 2003
This paper seeks to draw lessons from the IMF’s experience in handling financial crises around the globe over the past ten years that are relevant to the challenges faced by countries in Latin America, especially in the wake of the recent crisis in Argentina. Experience suggests that...
Persistent link: https://www.econbiz.de/10005824823
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Republic of Korea; 2002 Article IV Consultation-Staff Report; Staff Statement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director...
International Monetary Fund (IMF); International … - 2003
percent in 2001. Buoyant consumption and residential construction spending underpinned the recovery beginning in late 2001. In … 2002, exports rebounded strongly in spite of a weaker-than-expected recovery in the global economy. Unemployment has eased …
Persistent link: https://www.econbiz.de/10005598815
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India; 2008 Article IV Consultation: Staff Report; Staff Statement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for India
International Monetary Fund (IMF); International … - 2009
India’s financial system compares favorably internationally, but rising credit risk and liquidity pressures are putting it under strain. The staff report for India’s 2008 Article IV Consultation discusses economic developments and policies. The authorities have already taken...
Persistent link: https://www.econbiz.de/10011244299
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Introduction to Applied Stress Testing
Cihák, Martin - International Monetary Fund (IMF) - 2007
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with...
Persistent link: https://www.econbiz.de/10005248151
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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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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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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Macroprudential Policy; What Instruments and How to Use them? Lessons From Country Experiences
International Monetary Fund (IMF); International … - 2011
This paper provides the most comprehensive empirical study of the effectiveness of macroprudential instruments to date. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk over time and across institutions and markets. The...
Persistent link: https://www.econbiz.de/10009369434
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The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis
Hesse, Heiko; Frank, Nathaniel - International Monetary Fund (IMF) - 2009
provisions, such as the Term Auction Facility by the Federal Reserve, are analyzed. First a decomposition of the Libor-OIS spread …
Persistent link: https://www.econbiz.de/10008559270