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Pure Contagion and Investors Shifting Risk Appetite

Pure Contagion and Investors Shifting Risk Appetite »

Source: Pure Contagion and Investors Shifting Risk Appetite : Analytical Issues and Empirical Evidence

Volume/Issue: 2001/134

Series: IMF Working Papers

Author(s): Manmohan Kumar , and Avinash Persaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

ISBN: 9781451855609

Keywords: Risk aversion, contagion affects, financial crises, contagion, correlation, probability, currency crises, Financial Institutions and Services: General,

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals - investors' shifting appetite for risk. It provides an analytical framework for identifying changes in investors' risk...

Insurance and Issues in Financial Soundness

Insurance and Issues in Financial Soundness »

Source: Insurance and Issues in Financial Soundness

Volume/Issue: 2003/138

Series: IMF Working Papers

Author(s): Udaibir Das , Richard Podpiera , and Nigel Davies

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451856002

Keywords: soundness indicators, insurance companies, life insurers, life insurance, insurance industry, reinsurance, Financial Institutions and Services: General,

This paper explores insurance as a source of financial system vulnerability. It provides a brief overview of the insurance industry and reviews the risks it faces, as well as several recent failures of insurance co...

Quantitative Assessment of a Financial System-Barbados

Quantitative Assessment of a Financial System-Barbados »

Source: Quantitative Assessment of a Financial System-Barbados

Volume/Issue: 2005/76

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451860955

Keywords: banking, financial system, financial sector, banking system, bank profitability, Financial Institutions and Services: General, Financial Markets and the Macroeconomy,

A banking system module is incorporated into the Central Bank of Barbados's multisectoral macroeconomic forecasting model, and a medium-term forecast is generated for bank capitalization, profitability, liquidity a...

Development of Financial Markets in Central Europe

Development of Financial Markets in Central Europe »

Source: Development of Financial Markets in Central Europe : the Case of the CE4 Countries

Volume/Issue: 2011/101

Series: IMF Working Papers

Author(s): Amat Adarov , and Robert Tchaidze

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455254323

Keywords: financial development, bond, bond market, private bond, financial markets, institutional development, Financial Institutions and Services: General, Slovakia,

Financial markets in the CE4 countries are still shallow compared to other advanced EU countries. While the government bond markets are comparable in size, measured by capitalization in percent of GDP, the private...

Inflation and Financial Depth

Inflation and Financial Depth »

Source: Inflation and Financial Depth

Volume/Issue: 2001/44

Series: IMF Working Papers

Author(s): Mohsin Khan , Abdelhak Senhadji , and Bruce Smith

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2001

ISBN: 9781451846416

Keywords: Financial Depth, rate of inflation, rates of inflation, effect of inflation, monetary economics, Financial Institutions And Services, General Financial Markets,

There is now a substantial theoretical literature arguing that inflation impedes financial deepening. Furthermore, it has been hypothesized that the relationship is a nonlinear one, in that there is a threshold lev...

From Stress to Costress

From Stress to Costress »

Source: From Stress to Costress : Stress Testing Interconnected Banking Systems

Volume/Issue: 2012/53

Series: IMF Working Papers

Author(s): Rodolfo Maino , and Kalin Tintchev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781475502220

Keywords: banking, probabilities, probability, banking system, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to ca...

How Do Central Banks Writeon Financial Stability?

How Do Central Banks Writeon Financial Stability? »

Source: How Do Central Banks Writeon Financial Stability?

Volume/Issue: 2006/163

Series: IMF Working Papers

Author(s): Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864236

Keywords: financial system, financial institutions, financial systems, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

To showcase their increasing focus on financial stability, many central banks and other institutions have started publishing regular reports on financial stability. The paper presents a survey of the available fina...

Financial Development and Poverty Alleviation

Financial Development and Poverty Alleviation »

Source: Financial Development and Poverty Alleviation : Issues and Policy Implications for Developing and Transition Countries

Volume/Issue: 2001/160

Series: IMF Working Papers

Author(s): Vassili Prokopenko , and Paul Holden

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857740

Keywords: financial development, financial institutions, financial system, financial services, financial markets, financial sector, Financial Institutions and Services: General, Economic Development: General,

This paper reviews current thinking on the relationship between financial development and poverty alleviation-a subject that has grown increasingly important in the policy prescriptions of the IMF and other interna...

Emerging Market Bond Spreads and Sovereign Credit Ratings

Emerging Market Bond Spreads and Sovereign Credit Ratings »

Source: Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetri...

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) »

Source: Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Volume/Issue: 2006/134

Series: IMF Working Papers

Author(s): Kexue Liu , Jean Salvati , Renzo Avesani , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863949

Keywords: portfolio credit risk, default probabilities, Poisson distribution, Bernoulli distribution, probabilities, credit risk, probability, equation, probability distribution, Financial Institutions and Services: General

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. Fi...