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Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP).

Avesani, Renzo G - 2006

: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS -- IX. MODEL SUMMARY -- X. NUMERICAL IMPLEMENTATION -- XI. NUMERICAL EXAMPLES … USING THE CREDIT RISK TOOLBOX -- XII. CONCLUSION -- PROBABILITY AND MOMENT GENERATING FUNCTIONS -- References. …

Persistent link: https://www.econbiz.de/10012690978

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

International Risk Sharing

Matsumoto, Akito - 2009

consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk … that the full risk sharing equilibrium may not require much diversification of equity portfolios when there is price …

Persistent link: https://www.econbiz.de/10012677771

Environmental Tax Reform : Principles from Theory and Practice to Date

Parry, Ian W.H - 2012

energy/environmental tax systems in Germany, Sweden, Turkey, and Vietnam suggests that there is substantial scope for policy … Reforms: The Case of Germany, Sweden, Turkey, and Vietnam -- A. Comparing Energy Systems in Sweden, Germany, Turkey, and … Vietnam -- B. Externality Assessment -- C. Evaluating Environmental Tax Systems -- D. Conclusion -- Figures -- 1. Revenues …

Persistent link: https://www.econbiz.de/10012684557

Effectiveness and Channels of Macroprudential Instruments : Lessons from the Euro Area

Tressel, Thierry; Zhang, Yuanyan - 2016

The crisis has highlighted the importance of setting up macro-prudential oversight frameworks, having effective macro-prudential instruments in place to be called upon to mitigate growing financial imbalances as needed. We develop a new approach using the euro area Bank Lending Survey to assess...

Persistent link: https://www.econbiz.de/10014408006

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 …

Persistent link: https://www.econbiz.de/10012677777

Credit Risk Spreads in Local and Foreign Currencies

Wiener, Zvi - 2009

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of …

Persistent link: https://www.econbiz.de/10012677782

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

Credit Matters

Bayoumi, Tamim - 2008

This paper develops a framework for analyzing macro-financial linkages in the United States. We estimate the effects of a negative shock to banks' capital/assetratio on lending standards, which in turn affect consumer credit, mortgages, and corporate loans, and the corresponding components of...

Persistent link: https://www.econbiz.de/10012677610

The Determinants of Commercial Bank Profitability in Sub-Saharan Africa

Flamini, Valentina - 2009

41 SSA countries to study the determinants of bank profitability. We find that apart from credit risk, higher returns on …

Persistent link: https://www.econbiz.de/10012677708

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