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Macroprudential Solvency Stress Testing of the Insurance Sector

Macroprudential Solvency Stress Testing of the Insurance Sector »

Source: Macroprudential Solvency Stress Testing of the Insurance Sector

Volume/Issue: 2014/133

Series: IMF Working Papers

Author(s): Andreas A. Jobst , Nobuyasu Sugimoto , and Timo Broszeit

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 July 2014

ISBN: 9781484346365

Keywords: macroprudential surveillance, financial stability analysis, underwriting, life insurance, life insurers, insurance activities, General,

Over the last decade, stress testing has become a central aspect of the Fund's bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stabi...

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...

Currency Mismatches and Corporate Default Risk

Currency Mismatches and Corporate Default Risk »

Source: Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Volume/Issue: 2006/269

Series: IMF Working Papers

Author(s): Andre Santos , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

Bank Network Analysis in the ECCU

Bank Network Analysis in the ECCU »

Source: Bank Network Analysis in the ECCU

Volume/Issue: 2018/162

Series: IMF Working Papers

Author(s): Balazs Csonto , Alejandro Guerson , Alla Myrvoda , and Emefa Sewordor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 July 2018

ISBN: 9781484367506

Keywords: Financial Surveillance, Network Analysis, Cross-Border Financial Linkages, F34, G21, International Lending and Debt Problems

This paper applies network analysis to assess the extent of systemic vulnerabilities in the ECCU banking system. It includes two sets of illustrative stress tests. First, solvency and liquidity shocks to each indiv...

Fiscal Surveillance in a Petro Zone

Fiscal Surveillance in a Petro Zone »

Source: Fiscal Surveillance in a Petro Zone : The Case of the CEMAC

Volume/Issue: 2004/8

Series: IMF Working Papers

Author(s): Johannes Wiegand

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2004

ISBN: 9781451842548

Keywords: macroeconomic surveillance, revenue collection, oil prices, fiscal balance, petroleum production, National Deficit Surplus, Energy: Government Policy, Congo,

This paper discusses fiscal surveillance criteria for the countries of the Central African Monetary and Economic Union (CEMAC), most of which depend heavily on oil exports. At present, the CEMAC's macroeconomic sur...

Cross-Border Financial Surveillance

Cross-Border Financial Surveillance »

Source: Cross-Border Financial Surveillance : A Network Perspective

Volume/Issue: 2010/105

Series: IMF Working Papers

Author(s): Juan Sole , and Marco Espinosa-Vega

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781455200641

Keywords: Financial Surveillance, Network Analysis, Cross-Border Financial Linkages, banking, contagion, banking system, banking systems, bank for international settlements,

Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by si...

Fiscal Discipline in WAEMU: Rules, Institutions, and Markets

Fiscal Discipline in WAEMU: Rules, Institutions, and Markets »

Source: Fiscal Discipline in WAEMU : Rules, Institutions, and Markets

Volume/Issue: 2013/216

Series: IMF Working Papers

Author(s): Ermal Hitaj , and Yasin Kursat Onder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

ISBN: 9781484398685

Keywords: Fiscal discipline, regional surveillance sovereign risk, sovereign spreads, WAEMU, fiscal balance, fiscal behavior, fiscal deficit, Asset Pricing, General,

This paper gauges the scope for market discipline and the effectiveness of the regional surveillance framework in the West African Economic and Monetary Union (WAEMU). The paper finds that the responsiveness of sov...

Competition among Exchanges and Enforcement Policy

Competition among Exchanges and Enforcement Policy »

Source: Competition among Exchanges and Enforcement Policy

Volume/Issue: 2013/37

Series: IMF Working Papers

Author(s): Cecilia Caglio , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2013

ISBN: 9781475516784

Keywords: self-regulatory organizations, financial regulation, enforcement policy, enforcement policies, regulation, rules, regulatory system, Asset Pricing, Government Policy and Regulation, Corporation and Securities Law

In this paper, we explore how competition among stock exchanges, operated as self-regulatory organizations (SROs), affects the design of their members' surveillance. We develop a model where two for-profit SROs com...

A Framework for Macroprudential Bank Solvency Stress Testing

A Framework for Macroprudential Bank Solvency Stress Testing »

Source: A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs

Volume/Issue: 2013/68

Series: IMF Working Papers

Author(s): Andreas A. Jobst , Li Ong , and Christian Schmieder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2013

ISBN: 9781616355074

Keywords: Basel III, Financial Sector Assessment Plan (FSAP), G-20, macroprudential, S-25, satellite models, solvency, surveillance, banking, capital adequacy

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risk...

Strengthening IMF Crisis Prevention

Strengthening IMF Crisis Prevention »

Source: Strengthening IMF Crisis Prevention

Volume/Issue: 2005/206

Series: IMF Working Papers

Author(s): Jonathan Ostry , and Jeronimo Zettelmeyer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862256

Keywords: IMF surveillance, capital markets, crisis lending, financial crises, capital inflows, International Economic Order, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

To better fulfill its crisis-prevention mandate, IMF surveillance needs to provide stronger incentives for countries to follow good policies and for markets to avoid boom-bust cycles in capital flows. To this end,...