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Counterparty Risk in the Over-The-Counter Derivatives Market.
The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system t...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington :
International Monetary Fund,
2008.
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| Colección: | IMF Working Papers.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Singh, Manmohan. | |
| 245 | 1 | 0 | |a Counterparty Risk in the Over-The-Counter Derivatives Market. |
| 260 | |a Washington : |b International Monetary Fund, |c 2008. | ||
| 300 | |a 1 online resource (32 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Definitions and Methodology; A. Counterparty Risk; B. Exposure of the Financial System to Counterparty Risk; 1. Global OTC Derivatives as of December 2007; 2. Global OTC Derivatives Market as of December 2007; C. Distress Dependence in the Financial System and Conditional Probability of Distress of Specific Financial Institutions; 1. Default Dependence Matrix; 1. Distress Dependence; 3. The FinancialSystem's Multivariate Density; D. Loss Scenarios; 4. Probability that at Least one Financial Institution Fails to Deliver. | |
| 505 | 8 | |a 5. Probability that Exactly one Financial Institution Fails to DeliverIII. Counterparty Risk: Empirical Estimation; A. Counterparty Risk Exposure; 6. OTC Derivatives: Notional Amounts as of end of March 2008; 7. OTC Derivatives: Counterparty Liabilities as of end of March 2008; B. Conditional Probability of Distress of Financial Institutions; 8. Probabilities of Distress of Financial Institutions Included in this Study; 2. Distress Dependence Matrix; 3. Losses Under Alternative Scenarios; 4. Extrapolated Total Losses Under Alternative Scenarios; 9. Fed's Balance Sheet as of April 23, 2008. | |
| 505 | 8 | |a IV. Conclusion and Policy ImplicationsReferences; Footnotes. | |
| 520 | |a The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to assess the scope of potential cascade effects. This risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one or more banks or primary broker-dealers. We then stress the importance of ""netting"" within the OTC derivative contracts. Our methodology shows that, even using data from before the worsening of the crisis in late Summer 2008, | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Derivative securities |x Econometric models. | |
| 650 | 0 | |a Over-the-counter markets |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 7 | |a Derivative securities |x Econometric models |2 fast | |
| 650 | 7 | |a Risk |x Econometric models |2 fast | |
| 700 | 1 | |a Segoviano Basurto, Miguel A. | |
| 758 | |i has work: |a Counterparty risk in the over-the-counter derivates market (Text) |1 https://id.oclc.org/worldcat/entity/E39PCH4tHr7VppvMKBCFF8ftqP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Singh, Manmohan. |t Counterparty Risk in the Over-The-Counter Derivatives Market. |d Washington : International Monetary Fund, ©2008 |z 9781451871166 |
| 830 | 0 | |a IMF Working Papers. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1586708 |z Texto completo |
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