We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

This paper presents key findings of the Assessment of the Supervision and Regulation of the Financial Sector for Palau. Palau’s government has demonstrated a clear political commitment to antimoney laundering. In addition to being a signatory to the Honiara Declaration, it has more...

This paper analyzes Rwanda’s Financial System Stability Assessment, including Reports on the Observance of Standards and Codes on Monetary and Financial Policy Transparency, Banking Supervision, and the Financial Action Task Force Recommendations for Anti-Money Laundering and Combating...

This paper discusses a Detailed Assessment of the Observance of Monte Titoli (MT) for Securities Settlement Systems for Italy. The paper discusses that the rules and regulations governing the operations and activities of MT are public and accessible to participants. The Italian laws and...

The Czech government placed high priority on implementing and observing the international standards relevant for financial stability. The supervisory staff exhibited a high understanding of best international supervisory standards, policies, and practices. Nevertheless, the report noted...

This paper presents a Financial System Stability Assessment Update, including Reports on the Observance of Standards and Codes (ROSC) on the Securities Regulation, Insolvency and Creditor Rights Systems, and Payment Systems in Colombia. Overall, the financial sector appears relatively stable and...

This paper discusses a Detailed Assessment of the Observance of the IMF Code of Good Practices on Transparency in Monetary and Financial Policies—Securities Regulation for Italy. The paper discusses that in the area of securities regulation, the objectives and responsibilities of the two...

This paper discusses key findings of the Financial System Stability Assessment (FSSA) and Reports on the Observance of Standards and Codes (ROSC) on Banking Supervision, Securities Regulation, Insurance Supervision and Regulation, and Securities Settlement Systems for Belgium. The assessment...

This paper contains a summary assessment of adherence to the Basel Core Principles for Effective Banking Supervision with respect to the offshore sector of St. Vincent and the Grenadines. The St. Vincent and the Grenadines Offshore Finance Authority Act, 1996, and the International Banks Act,...