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Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998
provided new credit risk management tools. However, in the addressed market segment adverse selection and moral hazard problems …Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations …
Persistent link: https://www.econbiz.de/10009768847
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Credit derivatives, securitizations, and the new regulatory environment
Quémard, Jean-Luc - 2005
Persistent link: https://www.econbiz.de/10004843733
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Recalibration of capital controls : evidence from the IMF taxonomy
Binici, Mahir; Das, Mitali - In: Journal of international money and finance 110 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012794903
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Active credit portfolio management in practice
Bohn, Jeffrey R.; Stein, Roger M. - 2009
Persistent link: https://www.econbiz.de/10004242656
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On modelling credit risk using Arbitrage Free Models
Skinner, Frank; Diaz, Antonio - Henley Business School, University of Reading - 2001
(1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We … find that it appears worthwhile to parameterize credit risk since even the simplest parameterized model obtains large …
Persistent link: https://www.econbiz.de/10005558314
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Conference on credit risk and credit derivatives, Federal Reserve Board, Washington, D.C., March 22-23, 2007
Federal Reserve Board (Board of Governors of the … - 2007
Persistent link: https://www.econbiz.de/10010727438
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A Framework for Financial Market Development
Chami, Ralph; Sharma, Sunil; Fullenkamp, Connel - International Monetary Fund (IMF) - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10008528687
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Conference on credit risk and credit derivatives, Federal Reserve Board, Washington, D.C., March 22-23, 2007
Federal Reserve Board (Board of Governors of the … - 2007
Persistent link: https://www.econbiz.de/10005545166
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The Option-Ipod. the Probability of Default Implied by Option Prices Basedon Entropy
Capuano, Christian - International Monetary Fund (IMF) - 2008
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and...
Persistent link: https://www.econbiz.de/10005599478
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Making OTC Derivatives Safe; A Fresh Look
Singh, Manmohan - International Monetary Fund (IMF) - 2011
Recent regulatory efforts, especially in the U.S. and Europe, are aimed at reducing moral hazard so that the next financial crisis is not bailed out by tax payers. This paper looks at the possibility that central counterparties (CCPs) may be too-big-to-fail entities in the making. The present...
Persistent link: https://www.econbiz.de/10008876583