Similar Search Results

Money for Nothing and Checks for Free; Recent Developments in U.S. Subprime Mortgage Markets

Mills, Paul S.; Kiff, John - International Monetary Fund (IMF) - 2007

After a number of warning signs, the U.S. "subprime mortgage crisis" became a headline issue in February 2007. Notwithstanding the bankruptcy of numerous mortgage companies, historically high delinquencies and foreclosures, and a significant tightening in subprime lending standards, the impact...

Persistent link: https://www.econbiz.de/10005605115

An Anatomy of Credit Booms; Evidence From Macro Aggregates and Micro Data

Terrones, Marco; Mendoza, Enrique G. - International Monetary Fund (IMF) - 2008

We study the characteristics of credit booms in emerging and industrial economies. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations and widening external deficits. Micro data show a strong association between credit...

Persistent link: https://www.econbiz.de/10005263687

An Investigation of Some Macro-Financial Linkages of Securitization

Long, Xin; Goswami, Mangal; Jobst, Andreas - International Monetary Fund (IMF) - 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 Africa (emerging …

Persistent link: https://www.econbiz.de/10005263753

Rating Through-the-Cycle; What does the Concept Imply for Rating Stability and Accuracy?

Kiff, John; Kisser, Michael; Schumacher, Liliana - International Monetary Fund (IMF) - 2013

Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies...

Persistent link: https://www.econbiz.de/10011242247

Next Generation Balance Sheet Stress Testing

Schmieder, Christian; Hasan, Maher; Puhr, Claus - International Monetary Fund (IMF) - 2011

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main...

Persistent link: https://www.econbiz.de/10009019581

Connected to Whom? International Interbank Borrowing During the Global Crisis

Tintchev, Kalin - International Monetary Fund (IMF) - 2013

The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper...

Persistent link: https://www.econbiz.de/10011142142

Stress Testing At the IMF

Swinburne, Mark; Stolz, Stéphanie Marie; Moretti, Marina - International Monetary Fund (IMF) - 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/10005599429

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Toward a Framework for Safeguarding Financial Stability

International Monetary Fund (IMF); International … - 2004

This paper examines the emergence of financial stability as a key policy objective. It discusses the underlying trends in the financial system, as well as the role of finance in relation to money, the real economy, and public policy. Financial stability is defined in terms of its ability to help...

Persistent link: https://www.econbiz.de/10005825656

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661