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Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings

Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings »

Source: Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings

Volume/Issue: 2012/23

Series: IMF Working Papers

Author(s): John Kiff , Sylwia Nowak , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463931858

Keywords: Sovereign ratings, rating agencies, credit ratings, asian crisis, emerging markets, An Investigation into the Impact and Accuracy of Sovereign Ratings, Financial Institutions and Services: General, Corporate Finance and Governance: Government Policy and Regulation,

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CR...

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...

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions1 »

Source: The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

Volume/Issue: 2006/139

Series: IMF Working Papers

Author(s): Li Ong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863994

Keywords: CDO, CDS, credit derivatives, credit risk transfer, structured credit products, credit risk, hedge, financial institutions, risk transfer, General Financial Markets: Government Policy and Regulation,

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in...

A Framework for the Surveillance of Derivatives Activities

A Framework for the Surveillance of Derivatives Activities »

Source: A Framework for the Surveillance of Derivatives Activities

Volume/Issue: 2005/61

Series: IMF Working Papers

Author(s): Eva Gutierrez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

ISBN: 9781451860801

Keywords: Derivatives, derivative, credit risk, credit derivatives, financial institutions, risk management, General Financial Markets: Other, Financial Institutions and Services: General,

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervi...

A Framework for the Surveillance of Derivatives Activities

A Framework for the Surveillance of Derivatives Activities »

Volume/Issue: 2005/61

Series: IMF Working Papers

Author(s): Eva Gutierrez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

DOI: http://dx.doi.org/10.5089/9781451860801.001

ISBN: 9781451860801

Keywords: Derivatives, derivative, credit risk, credit derivatives, financial institutions, risk management, General Financial Markets: Other, Financial Institutions and Services: General,

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervi...

An Incentive Approach to Identifying Financial System Vulnerabilities

An Incentive Approach to Identifying Financial System Vulnerabilities »

Volume/Issue: 2000/211

Series: IMF Working Papers

Author(s): Jingqing Chai , and R. Johnston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451874839.001

ISBN: 9781451874839

Keywords: asymmetric information, market structure, incentive assessments, financial system, moral hazard, deposit insurance, risk taking

This paper underscores the importance of the assessment of incentives of the main agents in a financial system as a key element in the analysis of financial system vulnerability and the surveillance over the financ...

Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings

Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings »

Volume/Issue: 2012/23

Series: IMF Working Papers

Author(s): John Kiff , Sylwia Nowak , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463931858.001

ISBN: 9781463931858

Keywords: Sovereign ratings, rating agencies, credit ratings, asian crisis, emerging markets, An Investigation into the Impact and Accuracy of Sovereign Ratings, Financial Institutions and Services: General, Corporate Finance and Governance: Government Policy and Regulation,

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CR...

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...

Macroprudential Solvency Stress Testing of the Insurance Sector

Macroprudential Solvency Stress Testing of the Insurance Sector »

Volume/Issue: 2014/133

Series: IMF Working Papers

Author(s): Andreas A. Jobst , Nobuyasu Sugimoto , and Timo Broszeit

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 July 2014

DOI: http://dx.doi.org/10.5089/9781484346365.001

ISBN: 9781484346365

Keywords: macroprudential surveillance, financial stability analysis, underwriting, life insurance, life insurers, insurance activities, General,

Over the last decade, stress testing has become a central aspect of the Fund's bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stabi...

Optimal Fiscal Policy and Government Provision of Contingent Liabilities
			: The Example of Government Loan and Deposit Guarantees.

Optimal Fiscal Policy and Government Provision of Contingent Liabilities : The Example of Government Loan and Deposit Guarantees. »

Volume/Issue: 1989/84

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 October 1989

DOI: http://dx.doi.org/10.5089/9781451954333.001

ISBN: 9781451954333

Keywords: social security, bonds, deposit insurance, government bonds

The optimal provision of loan guarantees or deposit insurance is examined in the context of an overlapping generations model. It is demonstrated that even in the face of a market imperfection that precludes diversi...