Search Results

You are looking at 1 - 10 of 16 items

  • Keyword: default x
  • Keywords: equation x
Clear All Modify Search
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Source: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy »

Source: Probabilities of Default and the Market Price of Risk in a Distressed Economy

Volume/Issue: 2011/75

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455227044

Keywords: Price of risk, CDS, risk-neutral probability, probability, probabilities, equation, probability of default, conditional expectation,

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one...

Bank Capitalization As a Signal

Bank Capitalization As a Signal »

Source: Bank Capitalization As a Signal

Volume/Issue: 2012/114

Series: IMF Working Papers

Author(s): Daniel Hardy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503357

Keywords: pro-cyclicality, signaling games, probability, equation, probability of default, present value,

The level of a bank‘s capitalization can effectively transmit information about its riskiness and therefore support market discipline, but asymmetry information may induce exaggerated or distortionary behavior: ban...

How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa

How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa »

Source: How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa

Volume/Issue: 2005/217

Series: IMF Working Papers

Author(s): Marcel Peter , and Martín Grandes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862362

Keywords: corporate risk, sovereign ceiling, default premium, bond, bonds, equation, probability, corporate bond, International Lending and Debt Problems,

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not...

Getting Shut Out of the International Capital Markets - It Doesn't Take Much

Getting Shut Out of the International Capital Markets - It Doesn't Take Much »

Source: Getting Shut Out of the International Capital Markets - It Doesn't Take Much

Volume/Issue: 2006/144

Series: IMF Working Papers

Author(s): Nancy Marion , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864045

Keywords: International lending, emerging market default, shutdowns, capital markets, probability, equation, international capital, International Lending and Debt Problems,

We use a simple model of international lending to show that an emerging market borrower who might default can be shut out of international capital markets without warning. A modest haircut on obligations, for examp...

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) »

Source: Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Volume/Issue: 2006/134

Series: IMF Working Papers

Author(s): Kexue Liu , Jean Salvati , Renzo Avesani , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863949

Keywords: portfolio credit risk, default probabilities, Poisson distribution, Bernoulli distribution, probabilities, credit risk, probability, equation, probability distribution, Financial Institutions and Services: General

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. Fi...

Credit Growth and Bank Soundness

Credit Growth and Bank Soundness »

Source: Credit Growth and Bank Soundness : Fast and Furious?

Volume/Issue: 2011/278

Series: IMF Working Papers

Author(s): Deniz Igan , and Marcelo Pinheiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463925956

Keywords: Credit growth, credit boom, distance to default, equation, statistics, net interest margin, bank credit, Financial Institutions and Services: Government Policy and Regulation, Socialist Institutions and Their Transitions: Financial Economics,

We examine the risks to bank soundness associated with credit booms in a large set of countries. Using bank-level data in 90 countries between 1995 and 2005, we analyze the relationship between credit growth and ba...

Regulatory Capital Charges for Too-Connected-to-Fail Institutions

Regulatory Capital Charges for Too-Connected-to-Fail Institutions »

Source: Regulatory Capital Charges for Too-Connected-to-Fail Institutions : A Practical Proposal

Volume/Issue: 2010/98

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982756

Keywords: Regulatory capital, too-connected-to-fail, incremental portfolio, CoRisk, network analysis, perimeter of regulation, probability, probability of default, probabilities, correlation

The recent financial crisis has highlighted once more that interconnectedness in the financial system is a major source of systemic risk. I suggest a practical way to levy regulatory capital charges based on the de...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863642.001

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy »

Volume/Issue: 2011/75

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455227044.001

ISBN: 9781455227044

Keywords: Price of risk, CDS, risk-neutral probability, probability, probabilities, equation, probability of default, conditional expectation,

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one...