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A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson, Thordur - 2018

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

Persistent link: https://www.econbiz.de/10012918566

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Heinz, Frigyes - 2014

drop in liquidity and a spike in risk aversion contributed to high spreads in Central and Eastern and South … periphery. The significant drop in the CDS spreads between July 2012 and December 2012 was mainly driven by a decline in risk …

Persistent link: https://www.econbiz.de/10013058434

Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises

Chan-Lau, Jorge A. - 2021

credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with …

Persistent link: https://www.econbiz.de/10013212320

Limiting Taxpayer 'Puts' - An Example from Central Counterparties

Kumar, Manmohan S. - 2014

Nonbanks such as central counterparties (CCPs) are a useful lens to see how regulators view the role of the lender-of-last-resort (LOLR). This paper explores the avenues available when a nonbank failure is likely, specifically by considering the options of keeping CCPs afloat. It is argued that...

Persistent link: https://www.econbiz.de/10013040393

The Morning After--The Impact on Collateral Supply after a Major Default

Turing, Dermot - 2018

Changes to the regulatory system introduced after the financial crisis include not only mandatory clearing of OTC derivatives at central counterparties and margining of uncleared derivatives, but also prudential measures, including notably a 'Liquidity Coverage Ratio' which obliges firms to set...

Persistent link: https://www.econbiz.de/10012906889

The External Balance Assessment Methodology : 2018 Update

Cubeddu, Luis - 2019

The assessment of external positions and exchange rates is a key mandate of the IMF. This paperpresents the updated External Balance Assessment (EBA) framework-a key input in the conduct ofmultilaterally-consistent external sector assessments of 49 advanced and emerging marketeconomies-following...

Persistent link: https://www.econbiz.de/10012888758

Some Alternative Monetary Facts

Stella, Peter; Kumar, Manmohan S.; Bhargava, Apoorv - 2021

In this paper, we discuss the modern history of monetarism and its alternatives, as well as the changing empirical relationship of various measures of money and inflation. After demonstrating that previous naïve correlations between money and inflation as established in the 20th century...

Persistent link: https://www.econbiz.de/10013243075

Exploring the Dynamics of Global Liquidity

Chen, Sally - 2012

This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between core and noncore liabilities of financial intermediatires and a corresponding price series....

Persistent link: https://www.econbiz.de/10013098562

Sovereign Risk and Asset and Liability Management-Conceptual Issues

Das, Udaibir S. - 2012

, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper … perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial … risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for …

Persistent link: https://www.econbiz.de/10013098567

The (Other) Deleveraging

Kumar, Manmohan S. - 2012

Deleveraging has two components -- shrinking of balance sheets due to increased haircuts/shedding of assets, and the reduction in the interconnectedness of the financial system. We focus on the second aspect and show that post-Lehman there has been a significant decline in the interconnectedness...

Persistent link: https://www.econbiz.de/10013098625