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  • Stabi Berlin  (9)
  • HFS Ernst Busch
  • SB Wriezen
  • 2005-2009  (9)
  • Singh, Manmohan  (9)
  • 1
    Online Resource
    Online Resource
    Use of Participatory Notes in Indian Equity Markets and Recent Regulatory Changes (2007)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845879839
    Format: Online-Ressource (13 p)
    Edition: Online-Ausg.
    ISBN: 1451868545 , 9781451868548
    Series Statement: IMF Working Papers Working Paper No. 07/291
    Content: This paper focuses on the use of participatory notes (PNs) by foreign investors, as a conduit for portfolio flows into Indian equity markets for more than a decade. The broadening of India''s foreign investor base, in recent years, has a bias towards hedge funds/unregistered foreign investors who invest primarily via PNs. While tax arbitrage via capital gains tax has almost disappeared since July 2004, it is intriguing to note that since then the demand for PNs has actually increased. The paper suggests some reasons for the continuation of a buoyant market in PNs, and explains the possible impact from the recent regulatory changes
    Language: English
    DOI: 10.5089/9781451868548.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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    Stabi Berlin
  • 2
    Online Resource
    Online Resource
    Counterparty Risk in the Over-The-Counter Derivatives Market (2008)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845885146
    Format: Online-Ressource (19 p)
    Edition: Online-Ausg.
    ISBN: 1451871163 , 9781451871166
    Series Statement: IMF Working Papers Working Paper No. 08/258
    Content: 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, the potential cascade effects could be very substantial. We summarize our results in the context of the stability of the banking system and provide some policy measures that could be usefully considered by the regulators in their discussions of current issues
    Language: English
    DOI: 10.5089/9781451871166.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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    Stabi Berlin
  • 3
    Online Resource
    Online Resource
    The Pricing of Credit Default Swaps During Distress (2006)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845870092
    Format: Online-Ressource (23 p)
    Edition: Online-Ausg.
    ISBN: 1451865147 , 9781451865141
    Series Statement: IMF Working Papers Working Paper No. 06/254
    Content: Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond''s face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil''s distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads
    Language: English
    DOI: 10.5089/9781451865141.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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    Stabi Berlin
  • 4
    Online Resource
    Online Resource
    Counterparty Risk, Impacton Collateral Flows and Role for Central Counterparties (2009)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845899864
    Format: Online-Ressource (15 p)
    Edition: Online-Ausg.
    ISBN: 1451873204 , 9781451873207
    Series Statement: IMF Working Papers Working Paper No. 09/173
    Content: Counterparty risk in the United States stemming from exposures to OTC derivatives payables (after netting) is now concentrated in five banks?Goldman Sachs, JPMorgan, Bank of America, Morgan Stanley and Citi. This note analyzes how such risks have shifted over the past year. We estimate that the adverse impact of counterparty risk on high-grade collateral flows and global liquidity due to decrease in rehypothecation, reduced securities lending, and hoarding of cash by major banks is at least $5 trillion. In order to mitigate counterparty risk, there have been regulatory initiatives to establish central counterparties (CCPs). From a policy perspective, counterparty risk remains large at present and recent experience has shown that OTC derivative positions are not supported by sufficient capital, constituting a major risk for participants in this market
    Language: English
    DOI: 10.5089/9781451873207.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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    Stabi Berlin
  • 5
    Online Resource
    Online Resource
    Insurance Companies in Emerging Markets (2005)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845888587
    Format: Online-Ressource (20 p)
    Edition: Online-Ausg.
    ISBN: 1451861079 , 9781451861075
    Series Statement: IMF Working Papers Working Paper No. 05/88
    Content: This paper focuses on asset allocation decisions of life insurance companies in emerging markets. Mature market insurers allocate only a small fraction of their assets to emerging markets because of regulatory constraints, rating pressures, and currency risk. However, global insurers invest directly in emerging markets by setting up subsidiaries rather than through portfolio investment, and this trend is increasing. Local insurers largely remain captive investors of local instruments and provide stability to the domestic securities market. The regulatory regime and the liquidity and depth of local markets play an important role in asset allocation decisions of insurers. Insurance companies are increasingly adopting asset liability management and risk control measures. However, insufficiently developed local markets and regulatory interventions on the liabilities side often limit optimal asset allocation
    Language: English
    DOI: 10.5089/9781451861075.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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    Stabi Berlin
  • 6
    Online Resource
    Online Resource
    Deleveraging After Lehman : Evidence From Reduced Rehypothecation (2009)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845911112
    Format: Online-Ressource (13 p)
    Edition: Online-Ausg.
    ISBN: 1451871902 , 9781451871906
    Series Statement: IMF Working Papers Working Paper No. 09/42
    Content: Rehypothecation is the practice that allows collateral posted by, say, a hedge fund to their prime broker to be used again as collateral by that prime broker for its own funding. In the United Kingdom, such use of a customer’s assets by a prime broker can be for an unlimited amount of the customer’s assets. And moreover, there are no customer protection rules (such as in the United States under the Securities Act of 1933). The paper shows evidence that, following Lehman’s bankruptcy, the extent of rehypothecation has declined substantially, in part because investment firms fear losing collateral if their prime broker becomes insolvent. While less rehypothecation reduces counterparty risk in the system, it also reduces market liquidity
    Language: English
    DOI: 10.5089/9781451871906.001
    URL: kostenfrei
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  • 7
    Online Resource
    Online Resource
    The Use (and Abuse) of CDS Spreads During Distress (2009)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845910787
    Format: Online-Ressource (13 p)
    Edition: Online-Ausg.
    ISBN: 1451872097 , 9781451872095
    Series Statement: IMF Working Papers Working Paper No. 09/62
    Content: Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that using the industry-standard fixed recovery rate assumption gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the cheapest-to-deliver bonds. Financial institutions using fixed rate recovery assumptions could have a false sense of security, and could be faced with outsized losses with potential knock-on effects for other institutions. To ensure effective oversight of financial institutions, and to monitor the stability of the global financial system especially during distress, the stochastic nature of recovery rates needs to be incorporated
    Language: English
    DOI: 10.5089/9781451872095.001
    URL: kostenfrei
    URL: Volltext  (IMF e-Library)
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  • 8
    Online Resource
    Online Resource
    Overpricing in Emerging Market Credit-Default-Swap Contracts : Some Evidence From Recent Distress Cases (2005)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_84587473X
    Format: Online-Ressource (13 p)
    Edition: Online-Ausg.
    ISBN: 1451861443 , 9781451861440
    Series Statement: IMF Working Papers Working Paper No. 05/125
    Content: Since recent debt restructurings that constitute credit events have been more frequent than outright defaults, sovereign bond prices may not collapse during distress. In this case, the likely high recovery values after restructuring suggest that the cost of credit-default-swap (CDS) contracts to the buyer (as measured by CDS spreads) may be higher than warranted. We estimate the extent of such overpricing by using the cheapest-to-deliver (CTD) bond as a proxy for the recovery-value assumption
    Language: English
    DOI: 10.5089/9781451861440.001
    URL: kostenfrei
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    Stabi Berlin
  • 9
    Online Resource
    Online Resource
    Testing Real Interest Parity in Emerging Markets (2006)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845870114
    Format: Online-Ressource (20 p)
    Edition: Online-Ausg.
    ISBN: 1451865090 , 9781451865097
    Series Statement: IMF Working Papers Working Paper No. 06/249
    Content: The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets
    Language: English
    DOI: 10.5089/9781451865097.001
    URL: kostenfrei
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    Stabi Berlin
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