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Emerging Issues in Banking Regulation

Emerging Issues in Banking Regulation »

Source: Emerging Issues in Banking Regulation

Volume/Issue: 2003/101

Series: IMF Working Papers

Author(s): Sunil Sharma , Ralph Chami , and Mohsin Khan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

ISBN: 9781451852530

Keywords: regulation, Basel standards, deposit insurance, bank capital, financial intermediaries, financial institutions, Financial Institutions and Services: Government Policy and Regulation, Financial Institutions and Services,

The paper provides an overview of the profound and rapid changes in banking brought about by technology and deregulation, and discusses the hurdles that will have to be negotiated for putting in place the three pil...

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...

Systemic Risk and Financial Consolidation

Systemic Risk and Financial Consolidation »

Source: Systemic Risk and Financial Consolidation : Are they Related?

Volume/Issue: 2002/55

Series: IMF Working Papers

Author(s): Gianni De Nicolo , and Myron Kwast

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2002

ISBN: 9781451847635

Keywords: bank consolidation, correlations, correlation, banking, equation, time series, Financial Institutions And Services,

We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effe...

Aging, Asset Allocation, and Costs

Aging, Asset Allocation, and Costs »

Source: Aging, Asset Allocation, and Costs : Evidence for the Pension Fund Industry in Switzerland

Volume/Issue: 2007/29

Series: IMF Working Papers

Author(s): Rene Weber , and David Gerber

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

ISBN: 9781451865936

Keywords: asset allocation, pension system, pension, pension fund, life insurance, Financial Institutions and Services: Government Policy and Regulation,

This paper focuses on the nexus between pension funds' balance sheet liabilities, reflecting their age profile and payments obligations, and the investment behavior and costs of these funds. The context of the anal...

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...

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk »

Source: Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Volume/Issue: 2002/157

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451857504

Keywords: regulatory capital requirements, credit VaR, subordinated debt, internal risk models, deposit insurance, bond, banking, equity capital, General Financial Markets: Government Policy and Regulation, Financial Institutions and Services: General

Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maxi...

French Banks Amid the Global Financial Crisis

French Banks Amid the Global Financial Crisis »

Source: French Banks Amid the Global Financial Crisis

Volume/Issue: 2009/201

Series: IMF Working Papers

Author(s): Yingbin Xiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873481

Keywords: French banks, debt guarantee, government support, refinancing, banking, capital adequacy, subordinated debt, Financial Institutions and Services: Government Policy and Regulation, General Financial Markets,

This paper runs the gamut of qualitative and quantitative analyses to examine the performance of French banks during 2006-2008 and the financial support measures taken by the French government. French banks were no...

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives »

Source: Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Volume/Issue: 2002/125

Series: IMF Working Papers

Author(s): Paul Kupiec

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2002

ISBN: 9781451854831

Keywords: bond, deposit insurance, bonds, capital requirement, stock capital, Financial Institutions and Services: Government Policy and Regulation, Regulatory Capital Requirements, Credit Var, Internal Models,

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-...

Emerging Issues in Banking Regulation

Emerging Issues in Banking Regulation »

Volume/Issue: 2003/101

Series: IMF Working Papers

Author(s): Sunil Sharma , Ralph Chami , and Mohsin Khan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

DOI: http://dx.doi.org/10.5089/9781451852530.001

ISBN: 9781451852530

Keywords: regulation, Basel standards, deposit insurance, bank capital, financial intermediaries, financial institutions, Financial Institutions and Services: Government Policy and Regulation, Financial Institutions and Services,

The paper provides an overview of the profound and rapid changes in banking brought about by technology and deregulation, and discusses the hurdles that will have to be negotiated for putting in place the three pil...

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...