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Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective
Lu, Yinqiu - 2006
Intro -- Contents -- I. INTRODUCTION -- II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS -- III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL FRAMEWORK -- VI. RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691162
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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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Regional Financial Interlinkages and Financial Contagion Within Europe
Ötker, Inci - 2009
This paper focuses on financial interlinkages within Europe and potential contagion channeled through these … channels of contagion through financial linkages; and assesses the magnitude of cross-border exposures between emerging and … regional contagion that could help identify the likely pressure points and capture potential spillover effects an …
Persistent link: https://www.econbiz.de/10012677707
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Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax
Markose, Sheri M. - 2012
(SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the …
Persistent link: https://www.econbiz.de/10009678940
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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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Cross-Border Financial Surveillance; A Network Perspective
Sole, Juan; Espinosa-Vega, Marco A - International Monetary Fund (IMF) - 2010
Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of...
Persistent link: https://www.econbiz.de/10008533219
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Macroprudential Regulation and Sector-Specific Default Risk
Belkhir, Mohamed - 2022
economy. It first documents that tighter macroprudential regulations implemented in Europe over the period 2008-2017 lowered …
Persistent link: https://www.econbiz.de/10015060258
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Making OTC Derivatives Safe; A Fresh Look
Singh, Manmohan - International Monetary Fund (IMF) - 2011
Recent regulatory efforts, especially in the U.S. and Europe, are aimed at reducing moral hazard so that the next …
Persistent link: https://www.econbiz.de/10008876583
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Regional Financial Spillovers Across Europe
Sgherri, Silvia - 2009
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The...
Persistent link: https://www.econbiz.de/10012677717
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What Drives Mortgage Default Risk in Europe and the U.S.?
Gross, Marco - 2022
We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance...
Persistent link: https://www.econbiz.de/10015060521