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Modern Banking and OTC Derivatives Markets; The Transformation of Global Finance and its Implications for Systemic Risk
Drees, Burkhard; Schinasi, Garry J.; Kramer, Charles … - International Monetary Fund (IMF) - 2001
Persistent link: https://www.econbiz.de/10005590943
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Interest Rates After the Credit Crunch: Markets and Models Evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48
overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We report the …-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … volatility smile coherently with the new market evidences. …
Persistent link: https://www.econbiz.de/10009318572
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Measuring off-Balance-Sheet Leverage
Breuer, Peter - International Monetary Fund (IMF) - 2000
-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …
Persistent link: https://www.econbiz.de/10005263810
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The Capital Markets of Emerging Europe; Institutions, Instruments and Investors
Ong, Li L.; Iorgova, Silvia - International Monetary Fund (IMF) - 2008
Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...
Persistent link: https://www.econbiz.de/10005264095
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …
Persistent link: https://www.econbiz.de/10005826508
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Monetary Implications of Cross-Border Derivatives for Emerging Economies
Morales, Armando Méndez - International Monetary Fund (IMF) - 2001
cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting … substitutability, and incorporate the enriched information set provided by derivative-based transactions into monetary policy design …
Persistent link: https://www.econbiz.de/10005599523
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Developing Asean5 Bond Markets; What Still Needs to Be Done?
Gray, Simon; Jobst, Andreas; Felman, Joshua; Carvajal, Ana - International Monetary Fund (IMF) - 2011
interrelationship between central bank management of short-term interest rates and domestic currency liquidity, and development of the …
Persistent link: https://www.econbiz.de/10009151209
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The Development of Local Debt Markets in Asia
Goswami, Mangal; Sharma, Sunil - International Monetary Fund (IMF) - 2011
The paper makes an assessment of the progress made in developing local debt markets in emerging Asia. Market development has been limited by hurdles confronting borrowers and lenders, current and potential liquidity providers, and insufficient support from government policies and regulations....
Persistent link: https://www.econbiz.de/10009151210
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Thailand; Financial Sector Assessment Program: Technical Note: Fixed Income Markets
International Monetary Fund (IMF); International … - 2009
This technical note focuses on fixed income markets for Thailand. The note recommends that Thailand should begin an orderly transition from merit-based regulation of corporate issuers and institutional investors to a disclosure-based regulatory system that opens the debt market to a larger and...
Persistent link: https://www.econbiz.de/10011243082