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The Use of Mortgage Covered Bonds
Avesani, Renzo G.; Ribakova, Elina; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2007
The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability … mortgage covered bonds. From the issuer's perspective, these instruments have become an attractive funding source and a tool … very liquid market. In this paper, we examine the two largest "jumbo" covered bond markets, Germany and Spain. We show how …
Persistent link: https://www.econbiz.de/10005826294
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How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004
bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns …
Persistent link: https://www.econbiz.de/10005264003
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How Important is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa
Peter, Marcel; Grandes, Martín - International Monetary Fund (IMF) - 2005
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is...
Persistent link: https://www.econbiz.de/10005599227
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U.S. Dollar Risk Premiums and Capital Flows
Balakrishnan, Ravi; Tulin, Volodymyr - International Monetary Fund (IMF) - 2006
This paper sheds light on the attractiveness of U.S. assets by studying dollar risk premiums, calculated using Consensus exchange rate forecasts, and linking them to bilateral capital flows. The paper finds that the presence of negative dollar risk premiums (i.e. expectations of a dollar...
Persistent link: https://www.econbiz.de/10005604926
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The Pricing of Credit Default Swaps During Distress
Singh, Manmohan; Andritzky, Jochen R. - International Monetary Fund (IMF) - 2006
delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the … recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation … that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to …
Persistent link: https://www.econbiz.de/10005605393
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Developing Asean5 Bond Markets; What Still Needs to Be Done?
Gray, Simon; Jobst, Andreas; Felman, Joshua; Carvajal, Ana - International Monetary Fund (IMF) - 2011
This paper examines a range of issues relating to bond markets in the ASEAN5 (Indonesia, Malaysia, Philippines … wider money and bond markets; and suggests some lessons from the recent crisis in developed country financial markets which …
Persistent link: https://www.econbiz.de/10009151209
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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Financial Market Risk and U.S. Money Demand
Cook, David; Choi, Woon Gyu - International Monetary Fund (IMF) - 2007
money demand rises with the liquidity risk of stock markets or the credit risk of corporate bond markets. After controlling …
Persistent link: https://www.econbiz.de/10005248246
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Pension Reform and Macroeconomic Stability in Latin America
Roldos, Jorge - International Monetary Fund (IMF) - 2007
This paper reviews macroeconomic aspects of pension reforms in Latin America, focusing on financial market stability and fiscal sustainability. Concentration of pension fund portfolios in government bonds remains high, and the lack of new investment alternatives has distorted asset prices....
Persistent link: https://www.econbiz.de/10005248326
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Recovery Rates From Distressed Debt; Empirical Evidence From Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
Singh, Manmohan - International Monetary Fund (IMF) - 2003
On a credit rating-adjusted basis, spreads on U.S. high-yield debt have typically been regarded as a lower bound for emerging market debt. However in the C-rated and defaulted segment, emerging market debt has traded at lower spreads than similarly rated U.S. high yield debt. We show that the...
Persistent link: https://www.econbiz.de/10005253001