Price of Risk : Recent Evidence From Large Financials /

Price of Risk : Recent Evidence From Large Financials /

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper discusses...

Fuld beskrivelse

Bibliografiske detaljer
Hovedforfatter:	Singh, Manmohan
Andre forfattere:	Youssef, Karim
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2010.
Serier:	IMF Working Papers; Working Paper ; No. 2010/190
Online adgang:	Full text available on IMF

Lignende værker

Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /
af: Alper, Emre
Udgivet: (2012)

The Pricing of Credit Default Swaps During Distress /
af: Singh, Manmohan
Udgivet: (2006)

Risk Neutral Pricing and Financial Mathematics
af: Knopf, Peter
Udgivet: (2015)

Risk Neutral Pricing and Financial Mathematics
af: Knopf, Peter
Udgivet: (2015)

Commodities and the Market Price of Risk /
af: Roache, Shaun
Udgivet: (2008)

Commodity Prices and Inflation : Evidence from Seven Large Industrial Countries.
Udgivet: (1989)

Counterparty Risk in the Over-The-Counter Derivatives Market /
af: Singh, Manmohan
Udgivet: (2008)

Collateral, Netting and Systemic Risk in the OTC Derivatives Market /
af: Singh, Manmohan
Udgivet: (2010)

Pricing, Risk, and Performance Measurement in Practice
af: Schwerdt, Wolfgang
Udgivet: (2010)

Pricing, Risk, and Performance Measurement in Practice
af: Schwerdt, Wolfgang
Udgivet: (2010)

Hedging Government Oil Price Risk /
af: Daniel, James
Udgivet: (2001)

Asset Prices and Time-Varying Risk.
Udgivet: (1988)

On Swing Pricing and Systemic Risk Mitigation /
af: Malik, Sheheryar
Udgivet: (2017)

Advanced Derivatives Pricing and Risk Management
af: Claudio Albanese, Giuseppe Campolieti
Udgivet: (2006)

Advanced Derivatives Pricing and Risk Management
af: Claudio Albanese, Giuseppe Campolieti
Udgivet: (2006)

Energy Pricing in the Soviet Union /
af: Kumar, Manmohan
Udgivet: (1991)

Recovery Rates From Distressed Debt : Empirical Evidence From Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings /
af: Singh, Manmohan
Udgivet: (2003)

Do Banks Price Environmental Transition Risks? : Evidence from a Quasi-Natural Experiment in a Chinese Province /
af: Huang, Bihong
Udgivet: (2021)

Are Prices Countercyclical? : Evidence From the G-7 /
af: Prasad, Eswar
Udgivet: (1994)

Pure Contagion and Investors Shifting Risk Appetite : Analytical Issues and Empirical Evidence /
af: Kumar, Manmohan
Udgivet: (2001)

Unconventional Monetary Policy and Asset Price Risk /
af: Roache, Shaun
Udgivet: (2013)

Systemic Risk, Aggregate Demand, and Commodity Prices /
af: Gomez-Pineda, Javier
Udgivet: (2015)

Predicting Downside Risks to House Prices and Macro-Financial Stability /
af: Deghi, Andrea
Udgivet: (2020)

Financial Instruments to Hedge Commodity Price Risk for Developing Countries /
af: Lu, Yinqiu
Udgivet: (2008)

Forecasting Accuracy of Crude Oil Futures Prices /
af: Kumar, Manmohan
Udgivet: (1991)

Household Debt and House Prices-at-risk : A Tale of Two Countries /
af: Alter, Adrian
Udgivet: (2020)

Pricing and Hedging Interest & Credit Risk Sensitive Instruments
af: Frank Skinner
Udgivet: (2005)

Pricing and Hedging Interest & Credit Risk Sensitive Instruments
af: Frank Skinner
Udgivet: (2005)

Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices /
af: Chan-Lau, Jorge
Udgivet: (2006)

Barriers to Retail Competition and Prices : Evidence From Spain /
af: Hoffmaister, Willy
Udgivet: (2006)

World Commodity Prices as a Forecasting Tool for Retail Prices : Evidence From the United Kingdom /
af: Thornton, John
Udgivet: (1997)

Pricing and Price Regulation
af: Bös, D.
Udgivet: (1994)

Pricing and Price Regulation
af: Bös, D.
Udgivet: (1994)

Pass-Through of Imported Input Prices to Domestic Producer Prices : Evidence from Sector-Level Data /
af: Ahn, JaeBin
Udgivet: (2016)

Bank Credit, Asset Prices and Financial Stability : Evidence From French Banks /
af: Pouvelle, Cyril
Udgivet: (2012)

Use of Participatory Notes in Indian Equity Markets and Recent Regulatory Changes /
af: Singh, Manmohan
Udgivet: (2007)

Probabilities of Default and the Market Price of Risk in a Distressed Economy /
af: Segoviano, Miguel
Udgivet: (2011)

Foreign Demand and Local House Prices : Evidence from the US /
af: Puy, Damien
Udgivet: (2020)

Property Prices and Speculative Bubbles : Evidence From Hong Kong SAR /
af: Duenwald, Christoph
Udgivet: (2000)

Oil Prices and Inflation Dynamics : Evidence from Advanced and Developing Economies /
af: Choi, Sangyup
Udgivet: (2017)