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Countercyclical Macro Prudential Policies in a Supporting Role to Monetary Policy

Countercyclical Macro Prudential Policies in a Supporting Role to Monetary Policy »

Source: Countercyclical Macro Prudential Policies in a Supporting Role to Monetary Policy

Volume/Issue: 2009/257

Series: IMF Working Papers

Author(s): Papa N'Diaye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2009

ISBN: 9781451874037

Keywords: macro prudentials, contingent claim analysis, aggregate demand, monetary fund,

This paper explores how prudential regulations can support monetary policy in reducing output fluctuations while maintaining financial stability. It uses a new framework that blends a standard model for monetary po...

The Contingent Claims Approach to Corporate Vulnerability Analysis

The Contingent Claims Approach to Corporate Vulnerability Analysis »

Source: The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer

Volume/Issue: 2004/121

Series: IMF Working Papers

Author(s): Yingbin Xiao , Dale Gray , Cheng Lim , and Michael Gapen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451854411

Keywords: Contingent claims approach, Corporate sector vulnerability, financial sector, option pricing, capital markets, hedging, international capital markets, Contigent claims approach,

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles,...

Measuring and Analyzing Sovereign Risk with Contingent Claims

Measuring and Analyzing Sovereign Risk with Contingent Claims »

Source: Measuring and Analyzing Sovereign Risk with Contingent Claims

Volume/Issue: 2005/155

Series: IMF Working Papers

Author(s): Michael Gapen , Dale Gray , Cheng Lim , and Yingbin Xiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861747

Keywords: contingent claims, probability, currency debt, foreign currency debt, domestic currency, correlation,

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive...

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System »

Source: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Volume/Issue: 2008/89

Series: IMF Working Papers

Author(s): Dale Gray , and James Walsh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869507

Keywords: contingent claims analysis, factor model, VAR, probability, banking, probabilities, probability of default, correlation,

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomi...

A Risk-Based Debt Sustainability Framework

A Risk-Based Debt Sustainability Framework »

Source: A Risk-Based Debt Sustainability Framework : Incorporating Balance Sheets and Uncertainty

Volume/Issue: 2008/40

Series: IMF Working Papers

Author(s): Dale Gray , Elena Loukoianova , Samuel Malone , and Cheng Lim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2008

ISBN: 9781451869026

Keywords: Contingent Claims, currency debt, foreign currency, foreign currency debt, risk premium,

This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based mode...

Australian Bank and Corporate Sector Vulnerabilities

Australian Bank and Corporate Sector Vulnerabilities »

Source: Australian Bank and Corporate Sector Vulnerabilities : An International Perspective

Volume/Issue: 2009/223

Series: IMF Working Papers

Author(s): Elöd Takáts , and Patrizia Tumbarello

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873702

Keywords: contingent claim analysis, bank asset quality, capital adequacy, capital adequacy ratio, banking, probability of default,

This paper focuses on how the exposure to the corporate sector may impact the health of the Australian banking system. It also compares Australian banks with their international peers. Finally, it investigates bank...

From Subprime Loans to Subprime Growth? Evidence for the Euro Area

From Subprime Loans to Subprime Growth? Evidence for the Euro Area »

Source: From Subprime Loans to Subprime Growth? Evidence for the Euro Area

Volume/Issue: 2009/69

Series: IMF Working Papers

Author(s): Martin Cihak , and Petya Koeva Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451872163

Keywords: linkages, contingent claims approach, bond, bank lending, corporate bond, bank loan,

The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding tha...

Measuring Sovereign Risk in Turkey

Measuring Sovereign Risk in Turkey »

Source: Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach

Volume/Issue: 2007/233

Series: IMF Working Papers

Author(s): Christian Keller , Peter Kunzel , and Marcos Souto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451867978

Keywords: Contingent Claims, domestic debt, exchange rate, external debt, foreign exchange, forward exchange rate,

Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the country remains...

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Source: Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...

Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis »

Source: Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...