My Account Log in

2 options

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions / Li Ong, Jorge Chan-Lau.

Ebook Central Academic Complete Available online

View online

IMF eLibrary Available online

View online
Format:
Book
Government document
Author/Creator:
Ong, Li.
Contributor:
Chan-Lau, Jorge.
International Monetary Fund. Monetary and Financial Systems Department.
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

The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.

Find

Home Release notes

My Account

Shelf Request an item Bookmarks Fines and fees Settings

Guides

Using the Find catalog Using Articles+ Using your account