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Currency Mismatches and Corporate Default Risk

Currency Mismatches and Corporate Default Risk »

Source: Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Volume/Issue: 2006/269

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries »

Source: Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Volume/Issue: 2004/210

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874822

Keywords: Sovereign Credit Spreads, Overvaluation, Debt Crises, exchange rate, exchange rate misalignment, bond spreads, bond issue, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An...

Currency Mismatches and Corporate Default Risk
			: Modeling, Measurement, and Surveillance Applications

Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications »

Volume/Issue: 2006/269

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865295.001

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries »

Volume/Issue: 2004/210

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

DOI: http://dx.doi.org/10.5089/9781451874822.001

ISBN: 9781451874822

Keywords: Sovereign Credit Spreads, Overvaluation, Debt Crises, exchange rate, exchange rate misalignment, bond spreads, bond issue, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An...

Overpricing in Emerging Market Credit-Default-Swap Contracts
			: Some Evidence from Recent Distress Cases

Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases »

Volume/Issue: 2005/125

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

DOI: http://dx.doi.org/10.5089/9781451861440.001

ISBN: 9781451861440

Keywords: recovery value, cheapest-to-deliver bond, credit-default-swap contract, ISDA, bond, bonds, bond prices, present value, bond price, International Lending and Debt Problems

Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values a...

The Problem that Wasn't
			: Coordination Failures in Sovereign Debt Restructurings

The Problem that Wasn't : Coordination Failures in Sovereign Debt Restructurings »

Volume/Issue: 2011/265

Series: IMF Working Papers

Author(s): Jeronimo Zettelmeyer , Marcos Chamon , and Ran Bi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463924645.001

ISBN: 9781463924645

Keywords: exit consents, creditor coordination, bond, bonds, debt restructuring, International Monetary Arrangements and Institutions, International Lending and Debt Problems, Macroeconomic Aspects of International Trade and Finance: Other, International Law,

Contrary to widespread expectation, debt renegotiations in the era of bond finance have generally been quick and involved little litigation. We present a model that rationalizes the initial fears and offers interpr...

The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals

The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals »

Volume/Issue: 1990/55

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1990

DOI: http://dx.doi.org/10.5089/9781451968989.001

ISBN: 9781451968989

Keywords: sovereign debt, bond, government bond, external debt, balance of payment

The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected cha...

Overpricing in Emerging Market Credit-Default-Swap Contracts

Overpricing in Emerging Market Credit-Default-Swap Contracts »

Source: Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence from Recent Distress Cases

Volume/Issue: 2005/125

Series: IMF Working Papers

Author(s): Jochen Andritzky , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

ISBN: 9781451861440

Keywords: recovery value, cheapest-to-deliver bond, credit-default-swap contract, ISDA, bond, bonds, bond prices, present value, bond price, International Lending and Debt Problems

Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values a...

The Problem that Wasn't

The Problem that Wasn't »

Source: The Problem that Wasn't : Coordination Failures in Sovereign Debt Restructurings

Volume/Issue: 2011/265

Series: IMF Working Papers

Author(s): Jeronimo Zettelmeyer , Marcos Chamon , and Ran Bi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924645

Keywords: exit consents, creditor coordination, bond, bonds, debt restructuring, International Monetary Arrangements and Institutions, International Lending and Debt Problems, Macroeconomic Aspects of International Trade and Finance: Other, International Law,

Contrary to widespread expectation, debt renegotiations in the era of bond finance have generally been quick and involved little litigation. We present a model that rationalizes the initial fears and offers interpr...

The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals

The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals »

Source: The Sensitivity of Secondary Sovereign Loan Market Returns to Macroeconomlc Fundamentals

Volume/Issue: 1990/55

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1990

ISBN: 9781451968989

Keywords: sovereign debt, bond, government bond, external debt, balance of payment

The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected cha...