Search Results

You are looking at 1 - 10 of 12 items

  • Keyword: Value at Risk x
Clear All Modify Search
Guarding Against Fiscal Risks in Hong Kong SAR1

Guarding Against Fiscal Risks in Hong Kong SAR1 »

Source: Guarding Against Fiscal Risks in Hong Kong SAR

Volume/Issue: 2007/150

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867145

Keywords: Revenue Volatility, Value at Risk, fiscal risks, tax revenue, bootstrap, tax base,

Hong Kong SAR's government faces the dual challenges of volatile revenue and medium term spending pressures arising from a rapidly aging population. Age-related spending pressures raise long-run sustainability conc...

Systemic Risk and Asymmetric Responses in the Financial Industry1

Systemic Risk and Asymmetric Responses in the Financial Industry1 »

Source: Systemic Risk and Asymmetric Responses in the Financial Industry

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

Sukuk vs. Eurobonds

Sukuk vs. Eurobonds »

Source: Sukuk vs. Eurobonds : Is There a Difference in Value-at-Risk?

Volume/Issue: 2007/237

Series: IMF Working Papers

Author(s): Faezeh Raei , and Selim Cakir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868012

Keywords: Sukuk, Sharia-Compliance, Eurobonds, Value-at-Risk, Diversification, bond, conventional bonds, islamic bonds, bond portfolios,

This paper assesses the impact of bonds issued according to Islamic principles (Sukuk), on the cost and risk structure of investment portfolios by using the Value-at-Risk (VaR) framework. The market for Sukuk has g...

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings »

Source: Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings

Volume/Issue: 2005/78

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451860979

Keywords: interest rate, duration, value-at-risk, capital adequacy, holdings of government securities, government securities holdings, capital adequacy ratio, General Financial Markets: Government Policy and Regulation,

The large holdings of government securities by banks in India draw attention to their risk as interest rates are at historical low levels. This paper measures such a risk using duration and value-at-risk methods an...

Cyber Risk Surveillance: A Case Study of Singapore

Cyber Risk Surveillance: A Case Study of Singapore »

Source: Cyber Risk Surveillance: A Case Study of Singapore

Volume/Issue: 2020/28

Series: IMF Working Papers

Author(s): Joseph Goh , Heedon Kang , Zhi Xing Koh , Jin Way Lim , Cheng Wei Ng , Galen Sher , and Chris Yao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 February 2020

ISBN: 9781513526317

Keywords: Systemically important financial institutions, Financial crises, Financial institutions, Financial systems, Financial services, Cyber risk, financial innovation, systemic risk, stress test., WP

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It is therefore important to integrate it into financial sector surveillance. This paper offers a r...

Operational Risk

Operational Risk »

Source: Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868036

Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...

Guarding Against Fiscal Risks in Hong Kong SAR

Guarding Against Fiscal Risks in Hong Kong SAR »

Volume/Issue: 2007/150

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867145.001

ISBN: 9781451867145

Keywords: Revenue Volatility, Value at Risk, fiscal risks, tax revenue, bootstrap, tax base,

Hong Kong SAR's government faces the dual challenges of volatile revenue and medium term spending pressures arising from a rapidly aging population. Age-related spending pressures raise long-run sustainability conc...

Systemic Risk and Asymmetric Responses in the Financial Industry

Systemic Risk and Asymmetric Responses in the Financial Industry »

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

DOI: http://dx.doi.org/10.5089/9781475504347.001

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

Sukuk vs. Eurobonds
			: Is There a Difference in Value-at-Risk?

Sukuk vs. Eurobonds : Is There a Difference in Value-at-Risk? »

Volume/Issue: 2007/237

Series: IMF Working Papers

Author(s): Faezeh Raei , and Selim Cakir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

DOI: http://dx.doi.org/10.5089/9781451868012.001

ISBN: 9781451868012

Keywords: Sukuk, Sharia-Compliance, Eurobonds, Value-at-Risk, Diversification, bond, conventional bonds, islamic bonds, bond portfolios,

This paper assesses the impact of bonds issued according to Islamic principles (Sukuk), on the cost and risk structure of investment portfolios by using the Value-at-Risk (VaR) framework. The market for Sukuk has g...

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings

Managing the Interest Rate Risk of Indian Banks' Government Securities Holdings »

Volume/Issue: 2005/78

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451860979.001

ISBN: 9781451860979

Keywords: interest rate, duration, value-at-risk, capital adequacy, holdings of government securities, government securities holdings, capital adequacy ratio, General Financial Markets: Government Policy and Regulation,

The large holdings of government securities by banks in India draw attention to their risk as interest rates are at historical low levels. This paper measures such a risk using duration and value-at-risk methods an...