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Leverage? : what leverage? ; a deep dive into the U.S. flow of funds in search of clues to the global crisis
Bhatia, Ashok Vir; Bayoumi, Tamim A. - 2012
This paper questions the view that leverage should have forewarned us of the global financial crisis of 2007-09, pointing to several gearing indicators that were neither useful portents of the onset of the crisis nor of its ferocity. Instead it shows, first, that the use of ill-suited collateral...
Persistent link: https://www.econbiz.de/10009618519
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Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector
Souto, Marcos - 2009
The credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and...
Persistent link: https://www.econbiz.de/10012677777
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Stress Testing at the IMF
Swinburne, Mark - 2008
For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP)....
Persistent link: https://www.econbiz.de/10012677464
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Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP).
Avesani, Renzo G - 2006
Intro -- Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT...
Persistent link: https://www.econbiz.de/10012690978
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What Drives Mortgage Default Risk in Europe and the U.S.?
Gross, Marco - 2022
We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance...
Persistent link: https://www.econbiz.de/10015060521
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Financial innovation, the Discovery of Risk, and the U.S. Credit Crisis
Mendoza, Enrique G.; Boz, Emine - International Monetary Fund (IMF) - 2010
Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by...
Persistent link: https://www.econbiz.de/10008560424
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Money and collateral
Kumar, Manmohan S.; Stella, Peter - 2012
Between 1980 and before the recent crisis, the ratio of financial market debt to liquid assets rose exponentially in the U.S. (and in other financial markets), reflecting in part the greater use of securitized assets to collateralize borrowing. The subsequent crisis has reduced the pool of...
Persistent link: https://www.econbiz.de/10009614541
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An Investigation of Some Macro-Financial Linkages of Securitization
Long, Xin - 2009
financial sector stability) to the fast rise of securitization and the way it has arguably complicated both the conduct of … innovation, specifically through securitization, has altered the nature of some macro-financial linkages, often with considerable … policy implications. We find that securitization activity in the United States (mature market) and South Afr …
Persistent link: https://www.econbiz.de/10012677712
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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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Australian Bank and Corporate Sector Vulnerabilities; An International Perspective
Takáts, Elöd; Tumbarello, Patrizia - International Monetary Fund (IMF) - 2009
This paper focuses on how the exposure to the corporate sector may impact the health of the Australian banking system. It also compares Australian banks with their international peers. Finally, it investigates banks' exposure to credit risk using the new Basel II Pillar 3 disclosure data. The...
Persistent link: https://www.econbiz.de/10008559282