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Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.

Chan-Lau, Jorge A. - 2006

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. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691070

Monetary Implications of Cross-Border Derivatives for Emerging Economies

Morales, Armando Méndez - International Monetary Fund (IMF) - 2001

cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting … substitutability, and incorporate the enriched information set provided by derivative-based transactions into monetary policy design …

Persistent link: https://www.econbiz.de/10005599523

Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003

gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative … interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …

Persistent link: https://www.econbiz.de/10005826508

Measuring off-Balance-Sheet Leverage

Breuer, Peter - International Monetary Fund (IMF) - 2000

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

Persistent link: https://www.econbiz.de/10005263810

The Capital Markets of Emerging Europe; Institutions, Instruments and Investors

Ong, Li L.; Iorgova, Silvia - International Monetary Fund (IMF) - 2008

Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...

Persistent link: https://www.econbiz.de/10005264095

Developing Asean5 Bond Markets; What Still Needs to Be Done?

Gray, Simon; Jobst, Andreas; Felman, Joshua; Carvajal, Ana - International Monetary Fund (IMF) - 2011

This paper examines a range of issues relating to bond markets in the ASEAN5 (Indonesia, Malaysia, Philippines, Singapore and Thailand) - physical infrastructure including trading, clearing and settlement; regulation, supervision and legal underpinnings; and derivatives markets - and finds that...

Persistent link: https://www.econbiz.de/10009151209

The Development of Local Debt Markets in Asia

Goswami, Mangal; Sharma, Sunil - International Monetary Fund (IMF) - 2011

The paper makes an assessment of the progress made in developing local debt markets in emerging Asia. Market development has been limited by hurdles confronting borrowers and lenders, current and potential liquidity providers, and insufficient support from government policies and regulations....

Persistent link: https://www.econbiz.de/10009151210

The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer

Xiao, Yingbin; Gray, Dale F.; Lim, Cheng Hoon; Gapen, … - International Monetary Fund (IMF) - 2004

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The...

Persistent link: https://www.econbiz.de/10005599251

From Crisis to Recovery in Korea; Strategy, Achievements, and Lessons

Kang, Kenneth; Liang, Hong; Ma, Henry; Richards, Anthony J. - International Monetary Fund (IMF) - 2001

This paper reviews and draws lessons from the stabilization and reform program that Korea implemented in response to the 1997-98 crisis. The economy recovered quickly from the deep recession in 1998 and its vulnerability to a balance of payments crisis has been reduced sharply. Significant...

Persistent link: https://www.econbiz.de/10005825786

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo - 2009

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. The introduction of hedging instruments such as futures and options enhances domestic welfare … through two channels. First, by reducing export income volatility and allowing for a smoother consumption path. Second, by …

Persistent link: https://www.econbiz.de/10012677894