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The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?

Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium? »

Source: Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium?

Volume/Issue: 2014/20

Series: IMF Working Papers

Author(s): Eva Jenkner , and Zhongjin Lu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2014

ISBN: 9781484398876

Keywords: sub-national public finances, sovereign risk premium, bailout, bond, bond yields, bonds, financial sector, bond market, State and Local Borrowing,

Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. Howeve...

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis »

Source: Procyclical Behavior of Institutional Investors During the Recent Financial Crisis : Causes, Impacts, and Challenges

Volume/Issue: 2013/193

Series: IMF Working Papers

Author(s): Michael Papaioannou , Joonkyu Park , Jukka Pihlman , and Han Hoorn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

ISBN: 9781484336083

Keywords: long-term investments, institutional investors, procyclicality, financial stability, financial system, financial markets, bonds, bond, Portfolio Choice,

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (i...

The New Basel Capital Accord

The New Basel Capital Accord »

Source: The New Basel Capital Accord : The Devil Is in the (Calibration) Details

Volume/Issue: 2001/113

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853704

Keywords: bank regulation, Basel Accord, regulatory capital requirements, and credit risk, bond, capital requirements, credit risk, bonds, present value, General Financial Markets: Government Policy and Regulation

This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

DOI: http://dx.doi.org/10.5089/9781451865141.001

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

Sub-National Credit Risk and Sovereign Bailouts
			: Who Pays the Premium?

Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium? »

Volume/Issue: 2014/20

Series: IMF Working Papers

Author(s): Eva Jenkner , and Zhongjin Lu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2014

DOI: http://dx.doi.org/10.5089/9781484398876.001

ISBN: 9781484398876

Keywords: sub-national public finances, sovereign risk premium, bailout, bond, bond yields, bonds, financial sector, bond market, State and Local Borrowing,

Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. Howeve...

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis
			: Causes, Impacts, and Challenges

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis : Causes, Impacts, and Challenges »

Volume/Issue: 2013/193

Series: IMF Working Papers

Author(s): Michael Papaioannou , Joonkyu Park , Jukka Pihlman , and Han Hoorn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484336083.001

ISBN: 9781484336083

Keywords: long-term investments, institutional investors, procyclicality, financial stability, financial system, financial markets, bonds, bond, Portfolio Choice,

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (i...

The New Basel Capital Accord
			: The Devil Is in the (Calibration) Details

The New Basel Capital Accord : The Devil Is in the (Calibration) Details »

Volume/Issue: 2001/113

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451853704.001

ISBN: 9781451853704

Keywords: bank regulation, Basel Accord, regulatory capital requirements, and credit risk, bond, capital requirements, credit risk, bonds, present value, General Financial Markets: Government Policy and Regulation

This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that...