Search Results

You are looking at 1 - 8 of 8 items :

  • Keyword: portfolio x
  • Insurance - Risk Assessment and Management x
Clear All Modify Search
Sovereign Wealth Funds: Aspects of Governance Structures and Investment Management

Sovereign Wealth Funds: Aspects of Governance Structures and Investment Management »

Source: Sovereign Wealth Funds : Aspects of Governance Structures and Investment Management

Volume/Issue: 2013/231

Series: IMF Working Papers

Author(s): Abdullah Al-Hassan , Michael Papaioannou , Martin Skancke , and Cheng Chih Sung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 November 2013

ISBN: 9781475518610

Keywords: governance structure, investment management, macroeconomic coordination, investment strategy, investment strategies, Portfolio Choice,

This paper presents in a systematic (normative) manner the salient features of a SWF‘s governance structure, in relation to its objectives and investment management that can ensure its efficient operation an...

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...

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...

Portfolio Credit Risk and Macroeconomic Shocks

Portfolio Credit Risk and Macroeconomic Shocks »

Source: Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified...

Sovereign Wealth Funds
			: Aspects of Governance Structures and Investment Management

Sovereign Wealth Funds : Aspects of Governance Structures and Investment Management »

Volume/Issue: 2013/231

Series: IMF Working Papers

Author(s): Abdullah Al-Hassan , Michael Papaioannou , Martin Skancke , and Cheng Chih Sung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 November 2013

DOI: http://dx.doi.org/10.5089/9781475518610.001

ISBN: 9781475518610

Keywords: governance structure, investment management, macroeconomic coordination, investment strategy, investment strategies, Portfolio Choice,

This paper presents in a systematic (normative) manner the salient features of a SWF‘s governance structure, in relation to its objectives and investment management that can ensure its efficient operation an...

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...

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) »

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

DOI: http://dx.doi.org/10.5089/9781451863949.001

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...

Portfolio Credit Risk and Macroeconomic Shocks
			: Applications to Stress Testing Under Data-Restricted Environments

Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments »

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865431.001

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified...