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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...

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: 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...

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...

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...

New Zealand Banks’ Vulnerabilities and  Capital Adequacy

New Zealand Banks’ Vulnerabilities and Capital Adequacy »

Source: New Zealand Banks' Vulnerabilities and Capital Adequacy

Volume/Issue: 2013/7

Series: IMF Working Papers

Author(s): B. Jang , and Masahiko Kataoka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781475561371

Keywords: Basel II, loss given default, probability of default, mortgages, banking, mortgage, residential mortgages, General, Government Policy and Regulation,

The paper finds that, given New Zealand's conservative approach in implementing the Basel II framework, New Zealand banks' headline capital ratios underestimate their capital strength. A comparison with Canadian, U...

Australian Bank and Corporate Sector Vulnerabilities

Australian Bank and Corporate Sector Vulnerabilities »

Source: Australian Bank and Corporate Sector Vulnerabilities : An International Perspective

Volume/Issue: 2009/223

Series: IMF Working Papers

Author(s): Elöd Takáts , and Patrizia Tumbarello

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873702

Keywords: contingent claim analysis, bank asset quality, capital adequacy, capital adequacy ratio, banking, probability of default,

This paper focuses on how the exposure to the corporate sector may impact the health of the Australian banking system. It also compares Australian banks with their international peers. Finally, it investigates bank...