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The credit risk transfer market and stability implications for U.K. financial institutions /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
2006.
|
| Colección: | IMF working paper ;
WP/06/139. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Chan-Lau, Jorge A., |e author. | |
| 245 | 1 | 4 | |a The credit risk transfer market and stability implications for U.K. financial institutions / |c Jorge A. Chan-Lau and Li Lian Ong. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Monetary and Financial Systems Dept., |c 2006. | ||
| 300 | |a 1 online resource (25 pages) : |b illustrations | ||
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| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/139 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | 3 | |a 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 | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2011. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2011 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. CREDIT RISK TRANSFER INSTRUMENTS: STRUCTURED CREDIT PRODUCTS AND CREDIT DERIVATIVES -- III. INTERLINKAGES ACROSS FINANCIAL INSTITUTIONS -- IV. EXPOSURE OF U.K. FINANCIAL INSTITUTIONS TO CREDIT DERIVATIVES -- V. REGULATORY AND SUPERVISORY INITIATIVES -- VI. CONCLUSION -- HOW COLLATERALIZED DEBT OBLIGATIONS (CDOS) WORK -- KEY RISK FACTORS IN CREDIT RISK TRANSFER (CRT) MARKETS -- REFERENCES | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Credit derivatives |z Great Britain. | |
| 650 | 0 | |a Derivative securities |z Great Britain. | |
| 650 | 6 | |a Instruments dérivés de crédit |z Grande-Bretagne. | |
| 650 | 6 | |a Instruments dérivés (Finances) |z Grande-Bretagne. | |
| 650 | 7 | |a Credit derivatives |2 fast | |
| 650 | 7 | |a Derivative securities |2 fast | |
| 651 | 7 | |a Great Britain |2 fast |1 https://id.oclc.org/worldcat/entity/E39PBJdmp7p3cx8hpmJ8HvmTpP | |
| 700 | 1 | |a Ong, Li Lian, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Financial Systems Department. | |
| 776 | 0 | 8 | |i Print Version: |z 9781451909180 |
| 830 | 0 | |a IMF working paper ; |v WP/06/139. | |
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