Intro -- Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC … DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V …

risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one …The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss … counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This …

international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier … options-to hedge such risk. It then proposes the use of a new structured product-a sovereign Eurobond with an embedded option … on a specific commodity price. By extracting commodity price risk out of the bond, such an instrument insulates the bond …

commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare …This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for …

hedging their oil price risk. …Many governments are heavily exposed to oil price risk, especially those dependent on revenue derived from oil … stabilization funds, are inherently flawed. Oil risk markets could be a solution. These markets have matured greatly in the last …

interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk …, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to … liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides …

United Kingdom - are more promising while still entailing significant implementation challenges. A risk factor common to all … of the financial system. Since this could lead to accumulation of systemic risk if left unchecked, it appears unlikely …

supervisory measures alone are not enough and will need to be complemented by improvements in Indian banks' risk management and …

passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and …Measuring and managing exchange rate risk exposure is important for reducing a firm's vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR …

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial … and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still …