Search Results

You are looking at 1 - 10 of 84 items

  • Keyword: default probabilities x
Clear All Modify Search
The END

The END »

Source: The END : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Volume/Issue: 2005/231

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Toni Gravelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

ISBN: 9781451862508

Keywords: Corporate Vulnerability, Default Probability, probability, probabilities, correlation, International Finance: General,

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is ge...

Brady Bonds and Default Probabilities

Brady Bonds and Default Probabilities »

Source: Brady Bonds and Default Probabilities

Volume/Issue: 1998/16

Series: IMF Working Papers

Author(s): Ivailo Izvorski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1998

ISBN: 9781451843378

Keywords: Brady bonds, default probabilities, sovereign riskiness, probabilities, bonds, probability, bond

This paper computes the default probabilities implicit in the prices of Brady bonds of seven developing countries and examines the factors that determine the high cross-correlation of the probability paths. The ter...

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1

Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises1 »

Source: Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

Volume/Issue: 2003/106

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

ISBN: 9781451852912

Keywords: Credit default swaps, maximum recovery rate, default probability, bond, probability, probabilities, credit derivatives, correlation, Financial Economics: General, Credit defaults swaps,

In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum rec...

Public Debt Sustainability and Management in a Compound Option Framework

Public Debt Sustainability and Management in a Compound Option Framework »

Source: Public Debt Sustainability and Management in a Compound Option Framework

Volume/Issue: 2010/2

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Andre Santos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961676

Keywords: Asset-liability management, default risk, probabilities, probability, public debt management,

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an op...

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...

Market Signals and the Cost of Credit Risk Protection

Market Signals and the Cost of Credit Risk Protection »

Source: Market Signals and the Cost of Credit Risk Protection : An Analysis of CDS Settlement Auctions

Volume/Issue: 2014/239

Series: IMF Working Papers

Author(s): Luisa Zanforlin , and Nobuyuki Kanazawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781498389471

Keywords: Credit Default Swaps, Market signals, Derivative Markets, cds, default, market, default probabilities, General, Derivative Markets.,

We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices of the defaulted bonds as established at the CDS settlement auctions. We observe that the post...

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...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Source: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

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...