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Credit Risk Spreads in Local and Foreign Currencies

Credit Risk Spreads in Local and Foreign Currencies »

Source: Credit Risk Spreads in Local and Foreign Currencies

Volume/Issue: 2009/110

Series: IMF Working Papers

Author(s): Zvi Wiener , and Dan Galai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872576

Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign curr...

Estimating Spillover Risk Among Large EU Banks

Estimating Spillover Risk Among Large EU Banks »

Source: Estimating Spillover Risk Among Large EU Banks

Volume/Issue: 2007/267

Series: IMF Working Papers

Author(s): Li Ong , and Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

ISBN: 9781451868302

Keywords: contagion, large banks, banking, stock market, bond, government bond,

The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within dome...

Euro Area Sovereign Risk During the Crisis1

Euro Area Sovereign Risk During the Crisis1 »

Source: Euro Area Sovereign Risk During the Crisis

Volume/Issue: 2009/222

Series: IMF Working Papers

Author(s): Edda Zoli , and Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873696

Keywords: Sovereign Spreads, Global Risk Repricing, bond, sovereign bond, bonds,

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainabi...

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions »

Source: The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

Volume/Issue: 2010/153

Series: IMF Working Papers

Author(s): Jiri Podpiera , and Inci Ötker

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

ISBN: 9781455201365

Keywords: Large Complex Financial Institutions, dynamic panel data, CAMELS, vulnerability analysis, bond, autocorrelation, corporate bond, statistics, standard errors, Financial Institutions and Services: Government Policy and Regulation

This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly d...

Credit Risk Spreads in Local and Foreign Currencies

Credit Risk Spreads in Local and Foreign Currencies »

Volume/Issue: 2009/110

Series: IMF Working Papers

Author(s): Zvi Wiener , and Dan Galai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

DOI: http://dx.doi.org/10.5089/9781451872576.001

ISBN: 9781451872576

Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign curr...

Estimating Spillover Risk Among Large EU Banks

Estimating Spillover Risk Among Large EU Banks »

Volume/Issue: 2007/267

Series: IMF Working Papers

Author(s): Li Ong , and Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

DOI: http://dx.doi.org/10.5089/9781451868302.001

ISBN: 9781451868302

Keywords: contagion, large banks, banking, stock market, bond, government bond,

The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within dome...

Euro Area Sovereign Risk During the Crisis

Euro Area Sovereign Risk During the Crisis »

Volume/Issue: 2009/222

Series: IMF Working Papers

Author(s): Edda Zoli , and Silvia Sgherri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

DOI: http://dx.doi.org/10.5089/9781451873696.001

ISBN: 9781451873696

Keywords: Sovereign Spreads, Global Risk Repricing, bond, sovereign bond, bonds,

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainabi...

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions »

Volume/Issue: 2010/153

Series: IMF Working Papers

Author(s): Jiri Podpiera , and Inci Ötker

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

DOI: http://dx.doi.org/10.5089/9781455201365.001

ISBN: 9781455201365

Keywords: Large Complex Financial Institutions, dynamic panel data, CAMELS, vulnerability analysis, bond, autocorrelation, corporate bond, statistics, standard errors, Financial Institutions and Services: Government Policy and Regulation

This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly d...