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THE BASEL COMMITTEE APPROACH TO RISK-WEIGHTS AND EXTERNAL RATINGS: WHAT DO WE LEARN FROM BOND SPREADS?
Resti, Andrea; Sironi, Andrea - Banca d'Italia - 2005
paper, through an analysis of the economic capital allocations implied in corporate bond spreads. This is based on a unique … dataset of issuance spreads, ratings and other relevant bond variables (such as maturity, face value, time of issuance and … currency of denomination) including 7,232 eurobonds issued mostly by Canadian, European, Japanese and U.S. companies during …
Persistent link: https://www.econbiz.de/10005113515
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What is different about loans? An analysis of the risk structure of credit spreads
Resti, Andrea; Sironi, Andrea - In: International Journal of Banking, Accounting and Finance 2 (2010) 2, pp. 130-155
While extensive research on the relationship between credit risk and spreads has been produced for bonds and loans …. Empirical results confirm the key finding of the model: while spreads increase as ratings worsen for both bonds and loans, the … accounts for informational noise, and differences between bond and loan spreads are explained through the different screening …
Persistent link: https://www.econbiz.de/10008755596
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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
high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated …
Persistent link: https://www.econbiz.de/10005264003
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Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
Zettelmeyer, Jeromin; Sturzenegger, Federico - International Monetary Fund (IMF) - 2005
This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...
Persistent link: https://www.econbiz.de/10005825806
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Jamaica; Third Review Under the Stand-By Arrangement-Staff Report; Informational Annex; Staff Supplement; and the Press Release on the Executive Board Discussion.
International Monetary Fund (IMF); International … - 2011
Economic developments and growth of Jamaica are discussed in this paper. Despite the good performance under the program through end-September, mounting spending pressures and delays in some fiscal reforms have required the adoption of corrective measures by the authorities. The authorities...
Persistent link: https://www.econbiz.de/10011244977
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United Kingdom; Spillover Report for the 2011 Article IV Consultation and Supplementary Information
International Monetary Fund (IMF); International … - 2011
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011245540
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Former Yugoslav Republic of Macedonia; Selected Issues
International Monetary Fund (IMF); International … - 2011
This paper asks 1) whether reliance on Eurobond financing over the medium term is consistent with sound debt management policy and 2) whether Macedonia can reasonably expect Eurobond borrowing costs to fall in the future. The main conclusions are that Eurobond financing appears justified in the...
Persistent link: https://www.econbiz.de/10011245543
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Capital Markets and Financial Intermediation in The Baltics
Sheridan, Niamh; Schipke, Alfred; George, Susan Mary; … - International Monetary Fund (IMF) - 2004
In just over a decade after independence, the three Baltic countries, Estonia, Latvia, and Lithuania, have transformed themselves into fully functioning, small open-market economies that will be joining the European Union. Capital Markets and Financial Intermediation in The Baltics analyzes the...
Persistent link: https://www.econbiz.de/10005248055
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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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Investment Restrictions and Contagion in Emerging Markets
Ilyina, Anna - International Monetary Fund (IMF) - 2005
The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and (2) to...
Persistent link: https://www.econbiz.de/10005248287