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Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008
This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...
Persistent link: https://www.econbiz.de/10005264053
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Incorporating Financial Sector Risk Into Monetary Policy Models; Application to Chile
Luna, Leonardo; Gray, Dale F.; Restrepo, Jorge; Garcia, … - International Monetary Fund (IMF) - 2011
. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction …
Persistent link: https://www.econbiz.de/10009327873
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Crisis in Competitive Versus Monopolistic Banking Systems
Smith, Bruce D.; Nicoló, Gianni De; Boyd, John H. - International Monetary Fund (IMF) - 2003
risk-averse depositors. A "banking crisis" is defined as a case in which banks exhaust their reserve assets. Under … different model specifications, the banking industry is either a monopoly bank or a competitive banking industry. If the nominal … rate of interest (rate of inflation) is below (above) some threshold, a monopolistic banking system will always result in a …
Persistent link: https://www.econbiz.de/10005826156
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International Transmission of Bank and Corporate Distress
Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...
Persistent link: https://www.econbiz.de/10008542980
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Banking Crises and Crisis Dating; Theory and Evidence
Loukoianova, Elena; Nicoló, Gianni De; Boyd, John H. - International Monetary Fund (IMF) - 2009
Many empirical studies of banking crises have employed "banking crisis" (BC) indicators constructedusing primarily … information on government actions undertaken in response to bank distress. Weformulate a simple theoretical model of a banking …
Persistent link: https://www.econbiz.de/10008528706
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Bank Risk-Taking and Competition Revisited; New Theory and New Evidence
Nicoló, Gianni De; Jalal, Abu M.; Boyd, John H. - International Monetary Fund (IMF) - 2006
This paper studies two new models in which banks face a non-trivial asset allocation decision. The first model (CVH) predicts a negative relationship between banks' risk of failure and concentration, indicating a trade-off between competition and stability. The second model (BDN) predicts a...
Persistent link: https://www.econbiz.de/10005605287