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How Important is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa
Peter, Marcel; Grandes, Martín - International Monetary Fund (IMF) - 2005
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is...
Persistent link: https://www.econbiz.de/10005599227
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Capital Markets and Financial Intermediation in the Baltic States
International Monetary Fund (IMF); International … - 2003
This paper analyzes the capital markets and financial intermediation in the Baltic States. It provides a comprehensive overview of the structure and level of development of the financial system, discussing some of the unique characteristics of the Baltics, such as leasing; and comparing the...
Persistent link: https://www.econbiz.de/10005591529
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Germany; Technical Note on the Future of German Mortgage-Backed Covered Bond (PF and Brief) and Securitization Markets
International Monetary Fund (IMF); International … - 2011
developments of mortgage-covered bond (Pfandbrief) and mortgage securitization markets in Germany, and explores future prospects …
Persistent link: https://www.econbiz.de/10011243446
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
intersektorale Korrelation verringert werden können. Dies führt im Allgemeinen zu präziseren Prognosen der Verlustverteilungen. In … this paper we focus on the analysis of the effect of the asset correlation between two segments, its basic calculation and … approach. Using macroeconomic variables the probability of default can be predicted point in time. The asset correlation within …
Persistent link: https://www.econbiz.de/10005607533
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Republic of Korea; 2002 Article IV Consultation-Staff Report; Staff Statement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director...
International Monetary Fund (IMF); International … - 2003
This 2002 Article IV Consultation highlights that the economic growth of Korea rose to about 6 percent in 2002 from 3 percent in 2001. Buoyant consumption and residential construction spending underpinned the recovery beginning in late 2001. In 2002, exports rebounded strongly in spite of a...
Persistent link: https://www.econbiz.de/10005598815
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Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective
Lu, Yinqiu; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in...
Persistent link: https://www.econbiz.de/10005263700
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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a …
Persistent link: https://www.econbiz.de/10005825661
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The Use (and Abuse) of CDS Spreads During Distress
Spackman, Carolyne; Singh, Manmohan - International Monetary Fund (IMF) - 2009
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...
Persistent link: https://www.econbiz.de/10005826491
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Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications
Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in …
Persistent link: https://www.econbiz.de/10005826571
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Dynamic Loan Loss Provisions in Uruguay; Properties, Shock Absorption Capacity and Simulations Using Alternative Formulas
Wezel, Torsten - International Monetary Fund (IMF) - 2010
This paper assesses the merits of countercyclical loan loss provisioning in Uruguay. Using a stress test methodology, it quantifies the protection against macroeconomic shocks provided by the stock of dynamic provisions accumulated since 2001 and finds that medium-sized shocks would be fully...
Persistent link: https://www.econbiz.de/10008542986