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Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments

Segoviano Basurto, Miguel A. - 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/10014399772

Liberalization, Prudential Supervision, and Capital Requirements : The Policy Trade-Offs

Ribakova, Elina - 2005

While deregulated financial markets and strong competition are commonly viewed as prerequisites for successful economic development, recent empirical evidence suggests that financial liberalization, if not well phased, can lead to costly financial crises. This paper focuses on the roles of...

Persistent link: https://www.econbiz.de/10014400696

Institutionalizing countercyclical investment : a framework for long-term asset owners

Jones, Bradley A. - 2016

Do portfolio shifts by the world's largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generating properties) is a public and private good, how might asset owners be empowered...

Persistent link: https://www.econbiz.de/10011445378

Uncertainty and cross-border banking flows

Choi, Sangyup; Furceri, Davide - 2018

While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to...

Persistent link: https://www.econbiz.de/10011799580

Risk Management of Sovereign Assets and Liabilities

Cassard, Marcel - 1997

In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential...

Persistent link: https://www.econbiz.de/10014403784

Natural disaster insurance for sovereigns : issues, challenges and optimality

Cebotari, Aliona; Youssef, Karim - 2020

ex-ante preparedness is needed to manage the risks. The paper discusses sovereign experience with disaster insurance as a … key instrument to mitigate the risks; proposes ways to judge the adequacy of insurance; and considers ways to enhance its … use by vulnerable countries. The paper especially aims to inform policy decisions on disaster insurance. Through …

Persistent link: https://www.econbiz.de/10012170086

Bailouts and Systemic Insurance

Dell'Ariccia, Giovanni - 2013

invest prudently and so reduce bank risk taking. This systemic insurance effect will be relatively more important when …

Persistent link: https://www.econbiz.de/10014394541

Towards a Principal-Agent Based Typology of Risks in Public-Private Partnerships

De Palma, André - 2009

analyzed using standard tools in economics (incentives and principal-agent theory). We discuss the implications of our approach …

Persistent link: https://www.econbiz.de/10014403060

Managing macrofinancial risk

Adrian, Tobias; Vitek, Francis - 2020

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...

Persistent link: https://www.econbiz.de/10012300643

Riding the yield curve : risk taking behavior in a low interest rate environment

Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...

Persistent link: https://www.econbiz.de/10012251301

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