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Swinburne, Mark - 2008

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country''s financial system. This working paper focuses on the IMF''s experience with stress testing in the Financial Sector Assessment Program (FSAP)....

Persistent link: https://www.econbiz.de/10014401833

Sovereign credit default swaps : Managing risks when the fiscal house rumbles

Rajaratnam, Indra - In: Journal of risk management in financial institutions 16 (2023) 4, pp. 409-426

Persistent link: https://www.econbiz.de/10014441050

The Pricing of Credit Default Swaps During Distress

Singh, Manmohan - 2006

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are...

Persistent link: https://www.econbiz.de/10014400274

Evaluation of the Basel VaR-based market risk charge and proposals for a needed adjustment

Fricke, Jens; Pauly, Ralf - In: Journal of risk management in financial institutions 5 (2011/12) 4, pp. 398-420

Persistent link: https://www.econbiz.de/10009658000

Financial Market Risk and U.S. Money Demand

Cook, David - 2007

This paper examines empirically U.S. broad money demand emphasizing the role of financial market risk. We find that money demand rises with the liquidity risk of stock markets or the credit risk of corporate bond markets. After controlling for the effect of financial market risk, money demand...

Persistent link: https://www.econbiz.de/10014399997

Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement

Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52

Persistent link: https://www.econbiz.de/10014489153

The fundamental review of trading book: New standard approach and risk management impacts

Poretta, Pasqualina; Agnese, Paolo - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 209-219

Persistent link: https://www.econbiz.de/10012613991

What do deviations from covered interest parity and higher FX hedging costs mean for Asia?

Hong, Gee Hee; Oeking, Anne; Kang, Kenneth H.; Rhee, … - 2019

often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are … other currencies on a hedged basis via cross-currency swap markets. These deviations can be explained by regulatory changes …

Persistent link: https://www.econbiz.de/10012102189

Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value

Singh, Manmohan - 2003

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads …

Persistent link: https://www.econbiz.de/10014403968

A Primeron Sovereign Debt Buybacks and Swaps

Polan, Magdalena - 2007

plan and implement sovereign debt buyback and swap operations. It discusses the macroeconomic context in which buybacks and … particular buyback or swap operation and for selecting among alternative operations, and some key issues in the determination of … sovereign debt buyback and swap operations, since very little work has been done in this area. In this regard, the paper …

Persistent link: https://www.econbiz.de/10014400350

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