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Measuring Concentration Risk - A Partial Portfolio Approach

Measuring Concentration Risk - A Partial Portfolio Approach »

Source: Measuring Concentration Risk - A Partial Portfolio Approach

Volume/Issue: 2016/158

Series: IMF Working Papers

Author(s): Pierpaolo Grippa , and Lucyna Gornicka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 August 2016

ISBN: 9781475523171

Keywords: concentration risk, Basel capital requirements, Pillar 2, Credit VaR.

Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover concentration ri...

Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa »

Source: Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa

Volume/Issue: 2000/212

Series: IMF Working Papers

Author(s): Panagiotis Papapanagiotou , Theodore Barnhill , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451874884

Keywords: Economic models, Capital markets, Credit risk, Banking, South Africa, VaR, market risk, bank risk, credit ratings

The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simula...

Small and Medium Size Enterprises, Credit Supply Shocks, and Economic Recovery in Europe

Small and Medium Size Enterprises, Credit Supply Shocks, and Economic Recovery in Europe »

Source: Small and Medium Size Enterprises, Credit Supply Shocks, and Economic Recovery in Europe

Volume/Issue: 2014/98

Series: IMF Working Papers

Author(s): Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 June 2014

ISBN: 9781498303590

Keywords: SMEs, Credit Supply Shocks, Panel VAR, gdp growth, real gdp, economic growth, medium size enterprises, Panel VAR.,

The limited access to bank credit in recent years has increased the pressure on small and medium size enterprises (SMEs), forcing them to scale down investment plans and production. This paper, which explores the m...

Credit Cyclicality in Chile

Credit Cyclicality in Chile »

Source: Credit Cyclicality in Chile : A Cross-Country Analysis

Volume/Issue: 2008/55

Series: IMF Working Papers

Author(s): Ludvig Söderling

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2008

ISBN: 9781451869170

Keywords: Credit growth, business cycle, panel VAR, terms of trade shocks, trade shocks, financial stability, competitive pressure,

This paper analyzes the determinants of credit cyclicality. It constructs a financial development index and studies whether it affects the amplitude of impulse responses to shocks to output, terms of trade, global...

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives »

Source: Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Volume/Issue: 2002/125

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2002

ISBN: 9781451854831

Keywords: bond, deposit insurance, bonds, capital requirement, stock capital, Financial Institutions and Services: Government Policy and Regulation, Regulatory Capital Requirements, Credit Var, Internal Models,

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-...

Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries

Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries »

Source: Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries

Volume/Issue: 2012/191

Series: IMF Working Papers

Author(s): Serhan Cevik , and Katerina Teksoz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505399

Keywords: Monetary policy transmission, credit channel, structural VAR, monetary transmission, aggregate demand, monetary shocks, Model Construction and Estimation, Monetary Policy, Central Banking, and the Supply of Money and Credit: General

This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results indicate that the in...

The Sources of Business Cycles in a Low Income Country*

The Sources of Business Cycles in a Low Income Country* »

Source: The Sources of Business Cycles in a Low Income Country

Volume/Issue: 2015/40

Series: IMF Working Papers

Author(s): Romain Houssa , Jolan Mohimont , and Christopher Otrok

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 February 2015

ISBN: 9781498310147

Keywords: Credit Shocks, Macroeconomic Stabilization Policies, Sign Restrictions, Bayesian VAR, credit, productivity, inflation, prices, exchange, Models with Panel Data

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shoc...

Central Bank Communication and Monetary Policy Surprises in Chile

Central Bank Communication and Monetary Policy Surprises in Chile »

Source: Central Bank Communication and Monetary Policy Surprises in Chile

Volume/Issue: 2018/156

Series: IMF Working Papers

Author(s): Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

ISBN: 9781484363102

Keywords: Financial crises, Foreign banks, Monetary policy; monetary policy shocks; proxy VAR; central bank communication; central bank predictability; inflation forecast dispersion, Chile, Monetary policy, monetary policy shocks, proxy VAR, central bank communication, central bank predictability, inflation forecast dispersion

This paper assesses the quality of the CBC's communication policy by looking at the predictability and effectiveness of monetary policy communications by the Central Bank of Chile (CBC). To do so, we construct inde...

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk »

Source: Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Volume/Issue: 2002/157

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451857504

Keywords: regulatory capital requirements, credit VaR, subordinated debt, internal risk models, deposit insurance, bond, banking, equity capital, General Financial Markets: Government Policy and Regulation, Financial Institutions and Services: General

Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maxi...

Financial Frictions in Data

Financial Frictions in Data »

Source: Financial Frictions in Data : Evidence and Impact

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...