Search Results

You are looking at 1 - 10 of 74 items

  • Keyword: correlations x
  • Keywords: probability x
Clear All Modify Search
The END

The END »

Source: The END : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Volume/Issue: 2005/231

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Toni Gravelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

ISBN: 9781451862508

Keywords: Corporate Vulnerability, Default Probability, probability, probabilities, correlation, International Finance: General,

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is ge...

Recent Advances in Credit Risk Modeling

Recent Advances in Credit Risk Modeling »

Source: Recent Advances in Credit Risk Modeling

Volume/Issue: 2009/162

Series: IMF Working Papers

Author(s): Jose Gasha , Andre Santos , Jorge Chan-Lau , Carlos Medeiros , Marcos Souto , and Christian Capuano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873092

Keywords: Keyword:credit risk, correlation, probability, correlations, arbitrage, Financial Economics: General,

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worl...

Government Ponzi Games and Debt Dynamics Under Uncertainty

Government Ponzi Games and Debt Dynamics Under Uncertainty »

Source: Government Ponzi Games and Debt Dynamics Under Uncertainty

Volume/Issue: 1991/126

Series: IMF Working Papers

Author(s): Leonardo Bartolini , and Carlo Cottarelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451854862

Keywords: debt ratio, probability, correlation, debt ratios

We investigate the conditions for sustainability of debt roll-over schemes under uncertainty. In contrast with the requirements identified in recent research, we show that a necessary and sufficient condition for s...

Sweden

Sweden »

Source: Sweden : Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector

Volume/Issue: 2011/286

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 September 2011

ISBN: 9781463903572

Keywords: probability, bank assets, bank creditors, banking, correlation

This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests...

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...

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1 »

Source: An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Volume/Issue: 2004/33

Series: IMF Working Papers

Author(s): Arnaud Jobert , Janet Kong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845211

Keywords: Distance-to-default, forecasting, banking, correlation, bank distress, probability,

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and...

The Missing Link Between Financial Constraints and Productivity

The Missing Link Between Financial Constraints and Productivity »

Source: The Missing Link Between Financial Constraints and Productivity

Volume/Issue: 2009/72

Series: IMF Working Papers

Author(s): Marialuz Moreno Badia , and Veerle Slootmaekers

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872194

Keywords: financing constraints, SMEs, equation, correlation, statistics, probability, standard errors,

The global financial crisis has reopened the debate on the potential spillover effects from the financial sector to the real economy. This paper adds to that debate by providing new evidence on the link between fin...

Valuing Interest Payment Guarantees on Developing Country Debt

Valuing Interest Payment Guarantees on Developing Country Debt »

Source: Valuing Interest Payment Guarantees on Developing Country Debt

Volume/Issue: 1990/18

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1990

ISBN: 9781451922721

Keywords: standard deviation, debtor country, rate of change, correlation, probability

This paper develops a technique to value guarantees on interest payments on developing-country debt, and provides some preliminary estimates of the cost of such guarantees. The cost of interest payment guarantees i...

Are Credit Default Swaps Spreads High in Emerging Markets

Are Credit Default Swaps Spreads High in Emerging Markets »

Source: Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value

Volume/Issue: 2003/242

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875836

Keywords: recovery value, credit default swaps, cheapest-to-deliver bonds, bonds, bond, probability, correlation, probability of default,

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it...

Banking Stability Measures

Banking Stability Measures »

Source: Banking Stability Measures

Volume/Issue: 2009/4

Series: IMF Working Papers

Author(s): C. Goodhart , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871517

Keywords: portfolio risk, copula functions, entropy distribution, banking, probability, banking system, probabilities, correlation,

This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by...