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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
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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
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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
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Macroprudential Solvency Stress Testing of the Insurance Sector
Jobst, Andreas A. - 2014
surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This … paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national …
Persistent link: https://www.econbiz.de/10012690575
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Institutional Quality, Knightian Uncertainty, and Insurability : A Cross-Country Analysis
Erbas, S. Nuri - 2006
Persistent link: https://www.econbiz.de/10012691193
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How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter
Tower, Ian - 2009
This paper discusses the key sources of vulnerabilities for pension plans and insurance companies in light of the …
Persistent link: https://www.econbiz.de/10012677814
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A new heuristic measure of fragility and tail risks : application to stress testing
Taleb, Nassim Nicholas; Canetti, Elie; Kinda, Tidiane; … - 2012
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...
Persistent link: https://www.econbiz.de/10009621630
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Effects of culture on firm risk-taking : a cross-country and cross-industry analysis
Mihet, Roxana - 2012
This paper investigates the effects of national culture on firm risk-taking, using a comprehensive dataset covering 50,000 firms in 400 industries in 51 countries. Risk-taking is found to be higher for domestic firms in countries with low uncertainty aversion, low tolerance for hierarchical...
Persistent link: https://www.econbiz.de/10009621644
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Towards a Principal-Agent Based Typology of Risks in Public-Private Partnerships
Palma, André de - 2009
There is a strong economic rationale for close cooperation between the public and private sectors. This has resulted in a significant increase in the demand for the provision of public services through instruments combining public and private money such as public-private partnerships (PPPs or...
Persistent link: https://www.econbiz.de/10012685204
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Barriers to Household Risk Management : Evidence from India
Townsend, Robert M - 2012
innovative rainfall insurance product. Demand is significantly price sensitive, but widespread take-up would not be achieved even … if the product offered a payout ratio comparable to U.S. insurance contracts. We present evidence suggesting that lack of …Cover -- Contents -- Abstract -- I. Introduction -- II. Insurance Contract Design and Summary Statistics -- A. Product …
Persistent link: https://www.econbiz.de/10012690172