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Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Source: Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...

A Framework for the Surveillance of Derivatives Activities

A Framework for the Surveillance of Derivatives Activities »

Source: A Framework for the Surveillance of Derivatives Activities

Volume/Issue: 2005/61

Series: IMF Working Papers

Author(s): Eva Gutierrez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

ISBN: 9781451860801

Keywords: Derivatives, derivative, credit risk, credit derivatives, financial institutions, risk management, General Financial Markets: Other, Financial Institutions and Services: General,

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervi...

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463924614.001

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices »

Source: Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Volume/Issue: 2004/196

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

ISBN: 9781451859997

Keywords: Finite difference, Implied risk-neutral distribution, Inverse problem, Market expectations, Option prices, Smile, State prices, Volatility, equation, probability

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dol...

A Framework for the Surveillance of Derivatives Activities

A Framework for the Surveillance of Derivatives Activities »

Volume/Issue: 2005/61

Series: IMF Working Papers

Author(s): Eva Gutierrez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

DOI: http://dx.doi.org/10.5089/9781451860801.001

ISBN: 9781451860801

Keywords: Derivatives, derivative, credit risk, credit derivatives, financial institutions, risk management, General Financial Markets: Other, Financial Institutions and Services: General,

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervi...

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices »

Volume/Issue: 2004/196

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

DOI: http://dx.doi.org/10.5089/9781451859997.001

ISBN: 9781451859997

Keywords: Finite difference, Implied risk-neutral distribution, Inverse problem, Market expectations, Option prices, Smile, State prices, Volatility, equation, probability

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dol...