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Pricing of Credit Default Swaps During Distress.
Andritzky, Jochen R - 2006
Intro -- Contents -- I. INTRODUCTION -- II. CDS VALUATION AND THE BASIS -- III. THE ROLE OF RECOVERY -- IV. DATA …
Persistent link: https://www.econbiz.de/10012691130
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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The Use (and Abuse) of CDS Spreads During Distress
Spackman, Carolyne - 2009
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted … from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The …
Persistent link: https://www.econbiz.de/10012677752
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New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket
Garcia Pascual, Antonio - 2006
Intro -- Contents -- I. INTRODUCTION -- II. DESCRIPTION OF THE INDICATOR -- III. MODEL DESCRIPTION -- IV. DATA DESCRIPTION -- V. FACTOR ANALYSIS: ESTIMATION RESULTS -- VI. COMPUTATION OF THE PROBABILITIES OF DEFAULT -- VII. SENSITIVITY ANALYSIS -- VIII. STRESS TESTING -- IX. CONCLUDING REMARKS...
Persistent link: https://www.econbiz.de/10012691123
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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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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
Persistent link: https://www.econbiz.de/10009327870
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Is Foreign Debt Portfolio Management Efficient in Emerging Economies?
Hussein, Khaled - International Monetary Fund (IMF) - 2001
This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...
Persistent link: https://www.econbiz.de/10005599482
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Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
Liu, Kexue; Salvati, Jean; Avesani, Renzo G.; … - International Monetary Fund (IMF) - 2006
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...
Persistent link: https://www.econbiz.de/10005604852
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Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis
Alper, C. Emre; Forni, Lorenzo; Gerard, Marc - 2012
examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration … analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS … drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for …
Persistent link: https://www.econbiz.de/10009423923
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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