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Debt Maturity

Debt Maturity »

Source: Debt Maturity : Does It Matter for Fiscal Space?

Volume/Issue: 2015/257

Series: IMF Working Papers

Author(s): Jun Kim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 December 2015

ISBN: 9781513511931

Keywords: Debt sustainability, Fiscal policy, Public debt, Econometric models, Fiscal space, Sovereign debt defaults, sovereign default, debt maturity, debt limit, Deficit

This paper examines how debt maturity affects the debt limit, defined as the maximum amount of debt a government can afford without defaulting. We develop a model where investors are risk neutral, the primary balan...

Assessing Loss of Market Access: Conceptual and Operational Issues

Assessing Loss of Market Access: Conceptual and Operational Issues »

Source: Assessing Loss of Market Access: Conceptual and Operational Issues

Volume/Issue: 2017/246

Series: IMF Working Papers

Author(s): Anastasia Guscina , Sheheryar Malik , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 November 2017

ISBN: 9781484324936

Keywords: Market Access, Sovereign Debt Restructuring; Default; Bond Spreads, Sovereign Debt Restructuring, Default, Bond Spreads, Assessing Loss of Market Access:

Loss of market access (LMA) is a central element and an exacerbator of balance of payments and fiscal crises. This paper provides an operational definition of LMA, examines the predictive power of potential LMA lea...

Rating the Rating Agencies

Rating the Rating Agencies »

Source: Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises?

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Market-Based Structural Top-Down Stress Tests of the Banking System*

Market-Based Structural Top-Down Stress Tests of the Banking System* »

Source: Market-Based Structural Top-Down Stress Tests of the Banking System

Volume/Issue: 2013/88

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 April 2013

ISBN: 9781484306314

Keywords: default risk, structural models, market prices, probability of default, banking, applications, credit risk, Financial Forecasting and Simulation, Government Policy and Regulation,

Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with the...

Bank Capital Adequacy in Australia

Bank Capital Adequacy in Australia »

Source: Bank Capital Adequacy in Australia

Volume/Issue: 2012/25

Series: IMF Working Papers

Author(s): Niamh Sheridan , and B. Jang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463932527

Keywords: Canada, Basel II, Basel III, loss given default, probability of default, stress tests, mortgages, residential mortgages, banking, mortgage

The paper finds that, given Australia's conservative approach in implementing the Basel II framework, Australian banks' headline capital ratios underestimate their capital strengths. Given their high capital qualit...

Assessing Corporate Vulnerabilities in Indonesia

Assessing Corporate Vulnerabilities in Indonesia »

Source: Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis

Volume/Issue: 2017/97

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Weimin Miao , Ken Miyajima , and Jongsoon Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 April 2017

ISBN: 9781475595130

Keywords: Indonesia, Corporate sector, Asia and Pacific, bottom-up default analysis, default risk, scenario analysis, simulation, hazard rate models, Model Evaluation and Testing, General

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bot...

Local Housing Market Cycle and Loss Given Default

Local Housing Market Cycle and Loss Given Default »

Source: Local Housing Market Cycle and Loss Given Default : Evidence from Sub-Prime Residential Mortgages

Volume/Issue: 2010/167

Series: IMF Working Papers

Author(s): Yanan Zhang , Lu Ji , and Fei Liu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201785

Keywords: loss given default, residential mortgage, housing market cycle, Basel II, recovery, loss severity, mortgage, mortgages, foreclosure, mortgage default

This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper estab...

A New Risk Indicator and Stress Testing Tool

A New Risk Indicator and Stress Testing Tool »

Source: A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Volume/Issue: 2006/105

Series: IMF Working Papers

Author(s): Renzo Avesani , Jing Li , and Antonio Garcia Pascual

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863659

Keywords: market indicators, credit default swap (CDS), collateralized debt obligation (CDO), large complex financial institutions (LCFIs), probability, correlation, probabilities, correlations, probability of default,

This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS)...

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System »

Source: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Volume/Issue: 2008/89

Series: IMF Working Papers

Author(s): Dale Gray , and James Walsh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869507

Keywords: contingent claims analysis, factor model, VAR, probability, banking, probabilities, probability of default, correlation,

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomi...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...