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Serial Sovereign Defaults and Debt Restructurings

Serial Sovereign Defaults and Debt Restructurings »

Source: Serial Sovereign Defaults and Debt Restructurings

Volume/Issue: 2016/66

Series: IMF Working Papers

Author(s): Tamon Asonuma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 March 2016

ISBN: 9781513596648

Keywords: Serial Default, Sovereign Default, Past Credit History, Haircuts, Recovery rates, Risk Premia, debt, default, defaults, return

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These cou...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...

Foreign Bank Subsidiaries' Default Risk during the Global Crisis

Foreign Bank Subsidiaries' Default Risk during the Global Crisis »

Source: Foreign Bank Subsidiaries' Default Risk during the Global Crisis : What Factors Help Insulate Affiliates from their Parents?

Volume/Issue: 2016/109

Series: IMF Working Papers

Author(s): Deniz Anginer , Eugenio Cerutti , and Maria Martinez Peria

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 June 2016

ISBN: 9781484382189

Keywords: Banking crises, default risk, ring-fencing, bank subsidiaries, distance to default, Merton model.

This paper examines the association between the default risk of foreign bank subsidiaries in developing countries and their parents during the global financial crisis, with the purpose of determining the size and s...

Italy

Italy »

Source: Italy : Technical Note on Stress Testing The Banking Sector

Volume/Issue: 2013/349

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2013

ISBN: 9781475514445

Keywords: banking, banking system, sovereign risk, banking sector, probability of default

This Technical Note elaborates the recommendations made in the Financial Sector Assessment Program for Italy in the areas of contingency planning, crisis management, and bank resolution. The note sets out a brief o...

The Costs of Sovereign Default

The Costs of Sovereign Default »

Source: The Costs of Sovereign Default

Volume/Issue: 2008/238

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Ugo Panizza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2008

ISBN: 9781451870961

Keywords: Country Risk, banking, banking crises, banking crisis, sovereign default,

This paper evaluates empirically four types of cost that may result from an international sovereign default: reputational costs, international trade exclusion costs, costs to the domestic economy through the financ...

Public Debt Sustainability and Management in a Compound Option Framework

Public Debt Sustainability and Management in a Compound Option Framework »

Source: Public Debt Sustainability and Management in a Compound Option Framework

Volume/Issue: 2010/2

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Andre Santos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961676

Keywords: Asset-liability management, default risk, probabilities, probability, public debt management,

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an op...

A General Equilibrium Model of Sovereign Default and Business Cycles*

A General Equilibrium Model of Sovereign Default and Business Cycles* »

Source: A General Equilibrium Model of Sovereign Default and Business Cycles

Volume/Issue: 2011/166

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462302222

Keywords: Sovereign default, country risk, imported inputs, intermediate goods, debt ratio,

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad...

Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare?

New
Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare? »

Source: Long-Term Returns in Distressed Sovereign Bond Markets: How Did Investors Fare?

Volume/Issue: 2019/138

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Julian Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2019

ISBN: 9781498317375

Keywords: Debt crisis, public debt, sovereign risk, sovereign default, bond restructuring

Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we anal...

Monetary Policy, Bank Leverage, and Financial Stability

Monetary Policy, Bank Leverage, and Financial Stability »

Source: Monetary Policy, Bank Leverage, and Financial Stability

Volume/Issue: 2011/244

Series: IMF Working Papers

Author(s): Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923235

Keywords: Bank Leverage, Macroprudential regulation, bank capital, capital requirements, risk of default, bank default, bank risk, Financial Markets and the Macroeconomy,

This paper develops a model to assess how monetary policy rates affect bank risk-taking. In the model, a reduction in the risk-free rate increases lending profitability by reducing funding costs and increasing the...

Dollarisation intégrale
			: Avantages et inconvénients

Dollarisation intégrale : Avantages et inconvénients »

Series: Economic Issues

Author(s): Eduardo Borensztein , and Andrew Berg

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2001

Language: French

DOI: http://dx.doi.org/10.5089/9781557759948.051

ISBN: 9781557759948

Keywords: Dollarization, dollarization, currency board, domestic currency, central bank, currency boards, currency crises, currency risk, capital flows, international borrowing

Analyzes the costs and benefits of full dollarization, or the adoption by one country of another country's currency. Potential advantages include lower borrowing costs and deeper integration into world markets. But...