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Recent Advances in Credit Risk Modeling

Recent Advances in Credit Risk Modeling »

Source: Recent Advances in Credit Risk Modeling

Volume/Issue: 2009/162

Series: IMF Working Papers

Author(s): Jose Gasha , Andre Santos , Jorge Chan-Lau , Carlos Medeiros , Marcos Souto , and Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873092

Keywords: Keyword:credit risk, correlation, probability, correlations, arbitrage, Financial Economics: General,

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 worl...

Asset Price Bubbles

Asset Price Bubbles »

Source: Asset Price Bubbles : A Selective Survey

Volume/Issue: 2013/45

Series: IMF Working Papers

Author(s): Anna Scherbina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 February 2013

ISBN: 9781475515299

Keywords: Bubbles, Limits to Arbitrage, stock market, discount rate, mortgage, cash flows, financial economics, General,

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with fric...

Recent Advances in Credit Risk Modeling

Recent Advances in Credit Risk Modeling »

Volume/Issue: 2009/162

Series: IMF Working Papers

Author(s): Jose Gasha , Andre Santos , Jorge Chan-Lau , Carlos Medeiros , Marcos Souto , and Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

DOI: http://dx.doi.org/10.5089/9781451873092.001

ISBN: 9781451873092

Keywords: Keyword:credit risk, correlation, probability, correlations, arbitrage, Financial Economics: General,

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 worl...

Islamic Banking

Islamic Banking »

Source: Islamic Banking : How Has it Diffused?

Volume/Issue: 2010/195

Series: IMF Working Papers

Author(s): Patrick Imam , and Kangni Kpodar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455205257

Keywords: Poisson regression, Tobit model, banking, islamic banks, banking system, islamic bank, Financial Economics: General, Economic Development: General,

This paper investigates the determinants of the pattern of Islamic bank diffusion around the world using country-level data for 1992 - 2006. The analysis illustrates that income per capita, share of Muslims in the...

Short-Versus Long-Term Credit and Economic Performance

Short-Versus Long-Term Credit and Economic Performance »

Source: Short-Versus Long-Term Credit and Economic Performance : Evidence from the WAEMU

Volume/Issue: 2010/115

Series: IMF Working Papers

Author(s): Kodzo Gbenyo , and Kangni Kpodar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455200740

Keywords: financial development, growth, WAEMU, economic growth, banking, gdp per capita, real gdp, gdp growth, Financial Economics: General,

This paper studies the link between financial development and economic growth in the West African Economic and Monetary Union (WAEMU). Using panel data for WAEMU countries over the period 1995-2006, the results sug...

Financial Deepening, Property Rights and Poverty

Financial Deepening, Property Rights and Poverty »

Source: Financial Deepening, Property Rights and Poverty : Evidence From Sub-Saharan Africa

Volume/Issue: 2011/196

Series: IMF Working Papers

Author(s): Yifei Huang , and Raju Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

ISBN: 9781462305230

Keywords: financial development, property rights, dependent variable, gini coefficient, descriptive statistics, Macroeconomic Analyses of Economic Development, Financial Economics: General,

Recent studies on the relationship between financial development and poverty have been inconclusive. Some claim that, by allowing more entrepreneurs to obtain financing, financial development improves the allocatio...

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1 »

Source: Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Volume/Issue: 2003/106

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

ISBN: 9781451852912

Keywords: Credit default swaps, maximum recovery rate, default probability, bond, probability, probabilities, credit derivatives, correlation, Financial Economics: General, Credit defaults swaps,

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum rec...

Toward a Framework for Safeguarding Financial Stability

Toward a Framework for Safeguarding Financial Stability »

Source: Toward a Framework for Safeguarding Financial Stability

Volume/Issue: 2004/101

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

ISBN: 9781451852547

Keywords: Policy framework, financial system, financial institutions, financial sector, financial markets, Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General, Financial Economics: General,

This paper examines the emergence of financial stability as a key policy objective. It discusses the underlying trends in the financial system, as well as the role of finance in relation to money, the real economy,...

Causes of Asset Shortages in Emerging Markets

Causes of Asset Shortages in Emerging Markets »

Source: Causes of Asset Shortages in Emerging Markets

Volume/Issue: 2011/114

Series: IMF Working Papers

Author(s): Jiaqian Chen , and Patrick Imam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455262373

Keywords: Asset Shortage, Emerging Market, Capital Market, Regulation, financial assets, interest rates, capital markets, capital account, pension funds, Money and Interest Rates: General

We first illustrate that emerging markets (EMs) face a shortage of financial assets, with financial assets not growing as rapidly as domestic savings. We then estimate the asset shortage in EMs for 1995-2008. We de...

Financial Integration and Rebalancing in Asia

Financial Integration and Rebalancing in Asia »

Source: Financial Integration and Rebalancing in Asia

Volume/Issue: 2011/243

Series: IMF Working Papers

Author(s): Olaf Unteroberdoerster , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463922641

Keywords: Financial Development, Rebalancing, portfolio investment, fdi, direct investment, portfolio investment assets, Macroeconomics: Consumption, Saving, Production, Employment and Investment: Other

The paper shows that Asia's degree of financial integration, both with the world and within the region remains low by various measures. The paper also provides empirical evidence that greater financial integration...