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Of Runes and Sagas
			: Perspectives on Liquidity Stress Testing Using an Iceland Example

Of Runes and Sagas : Perspectives on Liquidity Stress Testing Using an Iceland Example »

Volume/Issue: 2010/156

Series: IMF Working Papers

Author(s): Martin Cihak , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

DOI: http://dx.doi.org/10.5089/9781455201396.001

ISBN: 9781455201396

Keywords: Funding gap, liquidity risk, liquidity shocks, solvency risk, stress tests, banking, financial institutions, bonds, hedging, banking sector

The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, wher...

Price of Risk
			: Recent Evidence From Large Financials

Price of Risk : Recent Evidence From Large Financials »

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202249.001

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...

Of Runes and Sagas

Of Runes and Sagas »

Source: Of Runes and Sagas : Perspectives on Liquidity Stress Testing Using an Iceland Example

Volume/Issue: 2010/156

Series: IMF Working Papers

Author(s): Martin Cihak , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201396

Keywords: Funding gap, liquidity risk, liquidity shocks, solvency risk, stress tests, banking, financial institutions, bonds, hedging, banking sector

The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, wher...

Price of Risk

Price of Risk »

Source: Price of Risk : Recent Evidence From Large Financials

Volume/Issue: 2010/190

Series: IMF Working Papers

Author(s): Manmohan Singh , and Karim Youssef

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202249

Keywords: Price of risk, risk-neutral probabilities, real-world probabilities, cheapest-to-deliver bonds, distance-to-distress, JPoD, LCFIs, probabilities, probability, bond

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to comp...