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The Global Financial Crisis and its Impacton the Chilean Banking System

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2010

This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that … default risk codependence, or CoRisk, between Chilean banks and global financial institutions. The results suggest that the … impact of the global financial crisis was limited, inducing at most a one-rating downgrade to banks operating in Chile. The …

Persistent link: https://www.econbiz.de/10008533239

Market-Based Structural Top-Down Stress Tests of the Banking System

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2013

absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper …. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy. …

Persistent link: https://www.econbiz.de/10011123864

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li L. - International Monetary Fund (IMF) - 2007

another large local or foreign counterpart, and vice-versa. Our results reveal several key trends among major global banks …: contagion risk among banks exhibits "home bias"; individual banks are affected differently by idiosyncratic shocks to their … major counterparts; and banks are affected differently by common shocks to the real economy or financial markets. In general …

Persistent link: https://www.econbiz.de/10005768965

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A.; Kim, Yoon Sook - International Monetary Fund (IMF) - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10005605007

Fundamentals-Based Estimation of Default Probabilities: A Survey

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

This survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making institutions. The models are especially useful when the firms analyzed do not have...

Persistent link: https://www.econbiz.de/10005605119

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Tales From Two Neighbors; Productivity Growth in Canada and the United States

Cerisola, Martin D.; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2000

This paper assesses productivity trends in Canada vis-a-vis the United States from two perspectives. The first one is based on estimates of total factor productivity. The second one decomposes productivity growth into two sources: investment-specific technical change, associated with...

Persistent link: https://www.econbiz.de/10005248234

Public Debt Sustainability and Management in a Compound Option Framework

Chan-Lau, Jorge A.; Santos, Andre - International Monetary Fund (IMF) - 2010

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...

Persistent link: https://www.econbiz.de/10008561071

The globalisation of finance and its implications for financial stability: an overview of the issues

Chan-Lau, Jorge A. - In: International Journal of Banking, Accounting and Finance 1 (2008) 1, pp. 3-29

This article provides a general overview of the impact of financial globalisation on financial stability, with a view to identify the sources of strength and the potential vulnerabilities. Attention is focused on the benefits of and risks for financial stability that are associated with changes...

Persistent link: https://www.econbiz.de/10005543930