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Public Debt Sustainability and Management in a Compound Option Framework
Chan-Lau, Jorge A.; Santos, Andre - International Monetary Fund (IMF) - 2010
This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...
Persistent link: https://www.econbiz.de/10008561071
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Default, Credit Growth, and Asset Prices
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of …
Persistent link: https://www.econbiz.de/10005264113
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Quantitative Properties of Sovereign Default Models; Solution Methods Matter
Martinez, Leonardo; Sapriza, Horacio; Hatchondo, Juan Carlos - International Monetary Fund (IMF) - 2010
We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of...
Persistent link: https://www.econbiz.de/10008533233
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Bank Competition, Risk and Asset Allocations
Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009
-to-assets ratio is ambiguous. Similarly, as competition increases, the probability of bank failure can either increase or decrease. We … about 2600 banks in 134 non-industrialized countries for the period 1993-2004. With both samples, we find that banks …' probability of failure is negatively and significantly related to measures of competition, and that the loan-to-asset ratio is …
Persistent link: https://www.econbiz.de/10008528611
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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Nkusu, Mwanza - International Monetary Fund (IMF) - 2011
We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...
Persistent link: https://www.econbiz.de/10009203534
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The Determinants of Commercial Bank Profitability in Sub-Saharan Africa
Flamini, Valentina; Schumacher, Liliana; McDonald, Calvin A. - International Monetary Fund (IMF) - 2009
Bank profits are high in Sub-Saharan Africa (SSA) compared to other regions. This paper uses a sample of 389 banks in 41 SSA countries to study the determinants of bank profitability. We find that apart from credit risk, higher returns on assets are associated with larger bank size, activity...
Persistent link: https://www.econbiz.de/10005599633
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Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets
Das, Udaibir S.; Papaioannou, Michael G.; Trebesch, … - International Monetary Fund (IMF) - 2010
Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to...
Persistent link: https://www.econbiz.de/10008561075
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From Stress to Costress; Stress Testing Interconnected Banking Systems
Maino, Rodolfo; Tintchev, Kalin - International Monetary Fund (IMF) - 2012
This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...
Persistent link: https://www.econbiz.de/10009654147
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The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions
Podpiera, Jiri; Ötker, Inci - International Monetary Fund (IMF) - 2010
This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data...
Persistent link: https://www.econbiz.de/10008560441
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International Transmission of Bank and Corporate Distress
Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...
Persistent link: https://www.econbiz.de/10008542980