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Calibrating Your Intuition

Calibrating Your Intuition »

Source: Calibrating Your Intuition : Capital Allocation for Market and Credit Risk

Volume/Issue: 2002/99

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2002

ISBN: 9781451852288

Keywords: value at risk, capital allocation, bond, equity capital, stock capital, Financial Institutions and Services: Government Policy and Regulation,

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To e...

CHAPTER III: RISK TRANSFER AND THE INSURANCE INDUSTRY

CHAPTER III: RISK TRANSFER AND THE INSURANCE INDUSTRY »

Source: Risk Transfer and the insurance industry

Series: Global Financial Stability Report

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 October 2004

ISBN: 9781451939323

Keywords: bonds, insurance companies, risk management, bond, credit risk

The transfer of risk from banks to non-bank institutions, such as mutual funds, pension funds, insurers, and hedge funds, has been taking place for many years. Banks have generally tried to distribute the ri...

Calibrating Your Intuition
			: Capital Allocation for Market and Credit Risk

Calibrating Your Intuition : Capital Allocation for Market and Credit Risk »

Volume/Issue: 2002/99

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2002

DOI: http://dx.doi.org/10.5089/9781451852288.001

ISBN: 9781451852288

Keywords: value at risk, capital allocation, bond, equity capital, stock capital, Financial Institutions and Services: Government Policy and Regulation,

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To e...

Pricing of Sovereign Credit Risk
			: Evidence From Advanced Economies During the Financial Crisis

Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis »

Volume/Issue: 2012/24

Series: IMF Working Papers

Author(s): Emre Alper , Lorenzo Forni , and Marc Gerard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463931865.001

ISBN: 9781463931865

Keywords: bond, arbitrage, bonds, stock prices, Advanced Economies, Sovereign Spreads, Fiscal Risks,

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RA...

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis
			: Causes, Impacts, and Challenges

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis : Causes, Impacts, and Challenges »

Volume/Issue: 2013/193

Series: IMF Working Papers

Author(s): Michael Papaioannou , Joonkyu Park , Jukka Pihlman , and Han Hoorn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484336083.001

ISBN: 9781484336083

Keywords: long-term investments, institutional investors, procyclicality, financial stability, financial system, financial markets, bonds, bond, Portfolio Choice,

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (i...

Sub-National Credit Risk and Sovereign Bailouts
			: Who Pays the Premium?

Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium? »

Volume/Issue: 2014/20

Series: IMF Working Papers

Author(s): Eva Jenkner , and Zhongjin Lu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2014

DOI: http://dx.doi.org/10.5089/9781484398876.001

ISBN: 9781484398876

Keywords: sub-national public finances, sovereign risk premium, bailout, bond, bond yields, bonds, financial sector, bond market, State and Local Borrowing,

Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. Howeve...

The New Basel Capital Accord
			: The Devil Is in the (Calibration) Details

The New Basel Capital Accord : The Devil Is in the (Calibration) Details »

Volume/Issue: 2001/113

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451853704.001

ISBN: 9781451853704

Keywords: bank regulation, Basel Accord, regulatory capital requirements, and credit risk, bond, capital requirements, credit risk, bonds, present value, General Financial Markets: Government Policy and Regulation

This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

DOI: http://dx.doi.org/10.5089/9781451865141.001

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

The New Basel Capital Accord

The New Basel Capital Accord »

Source: The New Basel Capital Accord : The Devil Is in the (Calibration) Details

Volume/Issue: 2001/113

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853704

Keywords: bank regulation, Basel Accord, regulatory capital requirements, and credit risk, bond, capital requirements, credit risk, bonds, present value, General Financial Markets: Government Policy and Regulation

This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...