The Credit Risk Transfer Market And Stability Implications For U
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The Credit Risk Transfer Market And Stability Implications For U
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Author : Jorge A. Chan-Lau
language : en
Publisher:
Release Date : 2006
The Credit Risk Transfer Market And Stability Implications For U written by Jorge A. Chan-Lau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The Credit Risk Transfer Market And Stability Implications For U K Financial Institutions
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Author : Li L. Ong
language : en
Publisher: International Monetary Fund
Release Date : 2006-06
The Credit Risk Transfer Market And Stability Implications For U K Financial Institutions written by Li L. Ong and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06 with Business & Economics categories.
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-limited liquidity means that its rapid expansion may actually pose problems for financial sector stability in the event of a major negative shock to credit markets. This paper attempts to quantify the exposure of major U.K. financial groups to credit derivatives, by applying a vector autoregression (VAR) model to publicly available market prices. Our results indicate that use of credit derivatives does not pose a substantial threat to financial sector stability in the United Kingdom. Exposures across major financial institutions appear sufficiently diversified to limit the impact of any shock to the market, while major insurance companies are largely exposed to the "safer" senior tranches.
Innovations In Credit Risk Transfer
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Author : Darrell Duffie
language : en
Publisher:
Release Date : 2008
Innovations In Credit Risk Transfer written by Darrell Duffie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Credit categories.
Instruments Of Credit Risk Transfer
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Author : John Kiff
language : en
Publisher:
Release Date : 2003
Instruments Of Credit Risk Transfer written by John Kiff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
We review the limited available literature relating to markets for credit risk transfer. These markets help to complete incomplete financial markets for credit risk by facilitating the isolation of credit risk from other risks and extending the opportunities to manage credit risk. Yet, CRT markets give rise to additional risk management problems, and they also create new asymmetric information problems. Pricing for some CRT instruments also remains difficult. We identify the new problems created by CRT markets in terms of their effects on relationships between borrowers and lenders and between lenders and credit protection sellers. We also discuss how different forms of CRT instruments or contracts mitigate the problems to differing degrees. Finally, we identify three channels through which CRT markets may have financial stability implications: Firms' access to finance; monetary-policy-transmission mechanisms; and interactions between markets.
The Limits Of Market Based Risk Transfer And Implications For Managing Systemic Risks
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Author : W. Todd Groome
language : en
Publisher:
Release Date : 2006
The Limits Of Market Based Risk Transfer And Implications For Managing Systemic Risks written by W. Todd Groome and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Finance categories.
The paper discusses the limits to market-based risk transfer in the financial system and the implications for the management of systemic long-term financial risks. Financial instruments or markets to transfer and better manage these risks across institutions and sectors are, as yet, either nascent or nonexistent. As such, the paper investigates why these markets remain "incomplete." It also explores a range of options by which policymakers may encourage the development of these markets as part of governments' role as a risk manager.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Powering The Digital Economy Opportunities And Risks Of Artificial Intelligence In Finance
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Author : El Bachir Boukherouaa
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Powering The Digital Economy Opportunities And Risks Of Artificial Intelligence In Finance written by El Bachir Boukherouaa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.
This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Securitization And Credit Quality
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Author : David Marques?Ibanez
language : en
Publisher: International Monetary Fund
Release Date : 2016-11-15
Securitization And Credit Quality written by David Marques?Ibanez and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-15 with Business & Economics categories.
Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans’ relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not seem to select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks’ reduced monitoring incentives.
The Risks Of Financial Institutions
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Author : Mark Carey
language : en
Publisher: University of Chicago Press
Release Date : 2007-11-01
The Risks Of Financial Institutions written by Mark Carey and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Business & Economics categories.
Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Credit Risk Management In And Out Of The Financial Crisis
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Author : Anthony Saunders
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-16
Credit Risk Management In And Out Of The Financial Crisis written by Anthony Saunders and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-16 with Business & Economics categories.
A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.