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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...

Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices

Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices »

Source: Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices

Volume/Issue: 2006/148

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864083

Keywords: Equity returns, default risk, credit derivatives, credit derivatives indices, collateralized debt obligations, bond, hedge funds, General Financial Markets: General (includes Measurement and Data),

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is on...

Do Commodity Futures Help Forecast Spot Prices?

Do Commodity Futures Help Forecast Spot Prices? »

Source: Do Commodity Futures Help Forecast Spot Prices?

Volume/Issue: 2011/254

Series: IMF Working Papers

Author(s): David Reichsfeld , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923891

Keywords: Asset Pricing, Futures Pricing, Financial Forecasting, futures price, futures prices, forecasting, random walk, futures markets, General Financial Markets: General (includes Measurement and Data),

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on...

Next Generation Balance Sheet Stress Testing1

Next Generation Balance Sheet Stress Testing1 »

Source: Next Generation Balance Sheet Stress Testing

Volume/Issue: 2011/83

Series: IMF Working Papers

Author(s): Christian Schmieder , Maher Hasan , and Claus Puhr

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226054

Keywords: Solvency Risk, Basel II, Basel III, banking, capital requirements, banking systems, market risk, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, w...

Next Generation System-Wide Liquidity Stress Testing1

Next Generation System-Wide Liquidity Stress Testing1 »

Source: Next Generation System-Wide Liquidity Stress Testing

Volume/Issue: 2012/3

Series: IMF Working Papers

Author(s): Claus Puhr , Andre Santos , Christian Schmieder , Salih Neftci , Benjamin Neudorfer , Stefan Schmitz , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781475502466

Keywords: StressTesting, Basel III, liquidity, solvency, cash flow, maturity, Monetary and Capital Markets Department, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module...

Extreme Contagion in Equity Markets

Extreme Contagion in Equity Markets »

Source: Extreme Contagion in Equity Markets

Volume/Issue: 2002/98

Series: IMF Working Papers

Author(s): James Yao , Jorge Chan-Lau , and Donald Mathieson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2002

ISBN: 9781451852158

Keywords: Contagion, extreme value theory, stock markets, financial markets, stock market, International Finance: General, General Financial Markets: General (includes Measurement and Data), Econometric and Statistical Methods: General,

This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equ...

Hedging Foreign Exchange Risk in Chile

Hedging Foreign Exchange Risk in Chile »

Source: Hedging Foreign Exchange Risk in Chile : Markets and Instruments

Volume/Issue: 2005/37

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2005

ISBN: 9781451860566

Keywords: derivatives market, forward contracts, currency options, hedging, exchange rate, hedge, General Financial Markets: General (includes Measurement and Data), General Financial Markets,

Policy makers have expressed interest in fostering the development of local foreign exchange derivatives markets with a view to reducing risks arising from currency mismatches between assets and liabilities in the...

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption »

Source: Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Volume/Issue: 2004/16

Series: IMF Working Papers

Author(s): Istvan Szekely , and Ádám Kóbor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2004

ISBN: 9781451843439

Keywords: Markov regime-switching model, EU accession countries, probability, exchange rate, correlations, foreign exchange, probabilities, Econometric and Statistical Methods: General, General Financial Markets: General (includes Measurement and Data), Slovakia,

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-vol...

The Use of Mortgage Covered Bonds

The Use of Mortgage Covered Bonds »

Source: The Use of Mortgage Covered Bonds

Volume/Issue: 2007/20

Series: IMF Working Papers

Author(s): Renzo Avesani , Elina Ribakova , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2007

ISBN: 9781451865844

Keywords: Mortgage covered bonds, asset swap spreads, market based indicators, mortgage, bonds, bond, mortgages, mortgage loans, General Financial Markets: General (includes Measurement and Data),

The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit institutions in mature markets have reacted by increasing secur...