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Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Kupiec, Paul H. - International Monetary Fund (IMF) - 2002

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...

Persistent link: https://www.econbiz.de/10005769175

The Impact of the EMUon the Structure of European Equity Returns; An Empirical Analysis of the First 21 Months

Kraus, Thomas - International Monetary Fund (IMF) - 2001

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European Monetary Union. Variance decompositions, cluster analyses, and principle component...

Persistent link: https://www.econbiz.de/10005769273

Is there a Novelty Premiumon New Financial Instruments? the Argentine Experience with Gdp-Indexed Warrants

Ricci, Luca Antonio; Chamon, Marcos; Costa, Alejo - International Monetary Fund (IMF) - 2008

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast...

Persistent link: https://www.econbiz.de/10005769334

Mapping Financial Sector Vulnerability in a Non-Crisis Country

Ötker, Inci; Downes, Patrick; Marston, David - International Monetary Fund (IMF) - 1999

The forward-looking framework expounded in this paper links a qualitative evaluation of system-wide vulnerability (covering macro, sectoral, institutional, and systemic liquidity issues) with a quantitative assessment of the financial condition of significant financial institutions. Based on...

Persistent link: https://www.econbiz.de/10005771354

Pricing Weather Derivatives

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

Persistent link: https://www.econbiz.de/10005805319

PRICING WEATHER DERIVATIVES FOR AGRICULTURAL RISK MANAGEMENT

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2003

Existing derivative pricing methods cannot be used to price weather derivatives due to the absence of a hedgeable … weather derivatives to be the same as any other financial asset. In this way, the price of a weather derivative is an …

Persistent link: https://www.econbiz.de/10005807907

Lessons and Policy Implications From the Global Financial Crisis

Claessens, Stijn; Laeven, Luc; Igan, Deniz; … - International Monetary Fund (IMF) - 2010

The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation and architecture, particularly in the treatment of systemically important financial...

Persistent link: https://www.econbiz.de/10008519478

FX Swaps; Implications for Financial and Economic Stability

Ong, Li L.; Barkbu, Bergljot - International Monetary Fund (IMF) - 2010

The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008,...

Persistent link: https://www.econbiz.de/10008519490

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo; Sandri, Damiano; Jeanne, Olivier - International Monetary Fund (IMF) - 2009

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by reducing export...

Persistent link: https://www.econbiz.de/10008540918

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 …. The purpose of this paper is to address two basic questions: (i) do credit derivative markets increase systemic risk; and … of credit derivative markets and recent events, followed by an assessment of their recent association with systemic risk …

Persistent link: https://www.econbiz.de/10008497598