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The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / Li Ong, Jorge Chan-Lau.
- Format:
- Book
- Government document
- Author/Creator:
- Ong, Li.
- Series:
- IMF Working Papers; Working Paper ; No. 2006/139
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Credit derivatives--Great Britain.
- Credit derivatives.
- Derivative securities--Great Britain.
- Derivative securities.
- Physical Description:
- 1 online resource (27 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2006.
- Language Note:
- English
- Summary:
- 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.
- Contents:
- ""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""
- Notes:
- "June 2006".
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786613829962
- 9781462339716
- 1462339719
- 9781452732992
- 145273299X
- 9781283517515
- 1283517515
- 9781451909180
- 1451909187
- OCLC:
- 694141142
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