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Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy »

Source: Probabilities of Default and the Market Price of Risk in a Distressed Economy

Volume/Issue: 2011/75

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455227044

Keywords: Price of risk, CDS, risk-neutral probability, probability, probabilities, equation, probability of default, conditional expectation,

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one...

Are Credit Default Swaps Spreads High in Emerging Markets

Are Credit Default Swaps Spreads High in Emerging Markets »

Source: Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value

Volume/Issue: 2003/242

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875836

Keywords: recovery value, credit default swaps, cheapest-to-deliver bonds, bonds, bond, probability, correlation, probability of default,

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it...

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System »

Source: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Volume/Issue: 2008/89

Series: IMF Working Papers

Author(s): Dale Gray , and James Walsh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869507

Keywords: contingent claims analysis, factor model, VAR, probability, banking, probabilities, probability of default, correlation,

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomi...

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...

Singapore

Singapore »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

Singapore: Selected Issues

Singapore: Selected Issues »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

Singapore: Selected Issues

Singapore: Selected Issues »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

Bank Capitalization As a Signal

Bank Capitalization As a Signal »

Source: Bank Capitalization As a Signal

Volume/Issue: 2012/114

Series: IMF Working Papers

Author(s): Daniel Hardy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503357

Keywords: pro-cyclicality, signaling games, probability, equation, probability of default, present value,

The level of a bank‘s capitalization can effectively transmit information about its riskiness and therefore support market discipline, but asymmetry information may induce exaggerated or distortionary behavior: ban...

The Use (and Abuse) of CDS Spreads During Distress

The Use (and Abuse) of CDS Spreads During Distress »

Source: The Use (and Abuse) of CDS Spreads During Distress

Volume/Issue: 2009/62

Series: IMF Working Papers

Author(s): Carolyne Spackman , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451872095

Keywords: CDS spreads during distress, stochastic recovery rate, probability of default, and financial institutions., bond, bonds, probability, probabilities,

Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature o...

A New Risk Indicator and Stress Testing Tool

A New Risk Indicator and Stress Testing Tool »

Source: A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Volume/Issue: 2006/105

Series: IMF Working Papers

Author(s): Renzo Avesani , Jing Li , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863659

Keywords: market indicators, credit default swap (CDS), collateralized debt obligation (CDO), large complex financial institutions (LCFIs), probability, correlation, probabilities, correlations, probability of default,

This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS)...