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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD …
Persistent link: https://www.econbiz.de/10005263920
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Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009
As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...
Persistent link: https://www.econbiz.de/10008528651
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
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Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections
Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007
This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...
Persistent link: https://www.econbiz.de/10005825617
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Early Warning Systems; A Survey and a Regime-Switching Approach
Abiad, Abdul - International Monetary Fund (IMF) - 2003
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...
Persistent link: https://www.econbiz.de/10005769232
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Incorporating Market Information Into the Construction of the Fan Chart
Kannan, Prakash; Elekdag, Selim - International Monetary Fund (IMF) - 2009
This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new...
Persistent link: https://www.econbiz.de/10008528615
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A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Cheng, Kevin C. - International Monetary Fund (IMF) - 2010
with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions …
Persistent link: https://www.econbiz.de/10008646431
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10005825693
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Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging
Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009
Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...
Persistent link: https://www.econbiz.de/10008559278
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Bank Competition, Risk and Asset Allocations
Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009
-to-assets ratio is ambiguous. Similarly, as competition increases, the probability of bank failure can either increase or decrease. We … explore these predictions empirically using a cross-sectional sample of 2,500 U.S. banks in 2003, and a panel data set of …' probability of failure is negatively and significantly related to measures of competition, and that the loan-to-asset ratio is …
Persistent link: https://www.econbiz.de/10008528611