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Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds
International Monetary Fund (IMF); International … - 2010
This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary...
Persistent link: https://www.econbiz.de/10008561093
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Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR; Evidence from Stock Markets
Zhang, Xiaojing; Sun, Tao - International Monetary Fund (IMF) - 2009
States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has … outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK. …
Persistent link: https://www.econbiz.de/10008528625
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The Systemic Regulation of Credit Rating Agencies and Rated Markets
Sy, Amadou N. R. - International Monetary Fund (IMF) - 2009
Credit ratings have contributed to the current financial crisis. Proposals to regulate credit rating agencies focus on micro-prudential issues and aim at reducing conflicts of interest and increasing transparency and competition. In contrast, this paper argues that macro-prudential regulation is...
Persistent link: https://www.econbiz.de/10008528614
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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
This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds …, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the … probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to …
Persistent link: https://www.econbiz.de/10005825661
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Credit Derivatives; Systemic Risks and Policy Options?
Kiff, John; Elliott, Jennifer A.; Kazarian, Elias G.; … - International Monetary Fund (IMF) - 2009
Credit derivative markets are largely unregulated, but calls are increasingly being made for changes to this "hands off" stance, amidst concerns that they helped to fuel the current financial crisis, or that they could be a cause of the next one. The purpose of this paper is to address two basic...
Persistent link: https://www.econbiz.de/10008497598
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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
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
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United Kingdom; Financial System Stability Assessment
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/10011243315
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Addressing Information Gaps
Mulder, Christian B.; Imus, Phil De; Psalida, L. Effie; … - International Monetary Fund (IMF) - 2009
Persistent link: https://www.econbiz.de/10011142216
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Can You Map Global Financial Stability?
Puig, Jaume; Miyajima, Ken; McCaughrin, Rebecca; … - International Monetary Fund (IMF) - 2010
The Global Financial Stability Map was developed as a tool to interpret the risks and conditions that impact financial stability in a graphical manner. It complements other existing tools for assessing financial stability, and seeks to overcome some of the drawbacks of earlier approaches. This...
Persistent link: https://www.econbiz.de/10008542981
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Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009
the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of …
Persistent link: https://www.econbiz.de/10008528651