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Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis
Hesse, Heiko - 2008
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks...
Persistent link: https://www.econbiz.de/10014409053
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Assessing Macrofinancial Risks from Crypto Assets
Hacibedel, Burcu - 2023
Failures in the crypto space-including the fall of Terra USD and the FTX debacle-have sparked calls for strengthening countries' policy frameworks for crypto assets, including by enhanced regulation and supervision. How have these heightened concerns about crypto assets been picked up in...
Persistent link: https://www.econbiz.de/10015059060
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A New Risk Indicator and Stress Testing tool; A Multifactor Nth-to-Default CDS Basket
Avesani, Renzo G.; Li, Jing; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2006
This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the...
Persistent link: https://www.econbiz.de/10005826610
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Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting
Jobst, Andreas - International Monetary Fund (IMF) - 2007
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...
Persistent link: https://www.econbiz.de/10005826656
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Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Jobst, Andreas - International Monetary Fund (IMF) - 2007
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
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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
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Measuring and Analyzing Sovereign Risk with Contingent Claims
Gapen, Michael T.; Gray, Dale F.; Lim, Cheng Hoon; … - International Monetary Fund (IMF) - 2005
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a...
Persistent link: https://www.econbiz.de/10005605090
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Fat Tails and their (Un)Happy Endings; Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund (IMF); International … - 2011
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it … is shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …
Persistent link: https://www.econbiz.de/10009019569
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First; A Market-Based Approach to Evaluate Financial System Risk and Stability
Avesani, Renzo G. - International Monetary Fund (IMF) - 2005
This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial...
Persistent link: https://www.econbiz.de/10005264101
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Structural Reforms in the Euro Area : Economic Impact and Role of Synchronization Across Markets and Countries
Schule, Werner - 2006
Persistent link: https://www.econbiz.de/10012691025