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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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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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Calibrating Your Intuition; Capital Allocation for Market and Credit Risk
Kupiec, Paul H. - International Monetary Fund (IMF) - 2002
Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To ensure accuracy, VaR must … be modified by: (1) measuring loss relative to initial market value; and (2) augmenting VaR to account for the interest …
Persistent link: https://www.econbiz.de/10005599685
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Fintech Payments in Public Financial Management: Benefits and Risks
Uña, Gerardo - 2023
Fintech payments leverage large digital platforms to fill gaps in the traditional payment system. They have made great strides in increasing access to payment services in several countries around the globe. At the same time, like any innovation, the new payment models are exposed to risks in...
Persistent link: https://www.econbiz.de/10015059723
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Bank Stress Testing of Physical Risks under Climate Change Macro Scenarios: Typhoon Risks to the Philippines
Hallegatte, Stephane - 2022
Bank stress tests of climate change risks are relatively new, but are rapidly proliferating. The IMF and World Bank staff collaborated to develop an experimental macro scenario stress testing approach to examine physical risks for banks by building a dynamic stochastic general equilibrium model...
Persistent link: https://www.econbiz.de/10015060165
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Systemic risk and asymmetric responses in the financial industry
Lopez-Espinosa, German; Moreno, Antonio; Rubia, Antonio; … - 2012
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...
Persistent link: https://www.econbiz.de/10009618560
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Exchange Rate Risk Measurement and Management : Issues and Approaches for Firms
Papaioannou, Michael G - 2006
Intro -- Contents -- I. INTRODUCTION -- II. DEFINITION AND TYPES OF EXCHANGE RATE RISK -- III. MEASUREMENT OF EXCHANGE RATE RISK -- IV. MANAGEMENT OF EXCHANGE RATE RISK -- V. HEDGING INSTRUMENTS FOR MANAGING EXCHANGE RATE RISK -- VI. HEDGING PRACTICES BY U.S. FIRMS -- VII. CONCLUDING REMARKS --...
Persistent link: https://www.econbiz.de/10012691150
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Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives
Kupiec, Paul H. - International Monetary Fund (IMF) - 2002
Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...
Persistent link: https://www.econbiz.de/10005769175
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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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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