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  • 1
    Online Resource
    Online Resource
    The pricing of credit default swaps during distress / (2006)
    [Washington, D.C.] :International Monetary Fund,
    Details
    UID:
    edocfu_9958096173602883
    Format: 1 online resource (25 p.)
    Edition: 1st ed.
    ISBN: 1-4623-6493-4 , 1-4527-0069-9 , 1-283-51509-1 , 9786613827548 , 1-4519-0967-5
    Series Statement: IMF working paper ; WP/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.
    Note: "November 2006." , ""Contents""; ""I. INTRODUCTION""; ""II. CDS VALUATION AND THE BASIS""; ""III. THE ROLE OF RECOVERY""; ""IV. DATA ANALYSIS""; ""V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE""; ""VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD""; ""VII. CONCLUSIONS""; ""REFERENCES"" , English
    Additional Edition: ISBN 1-4518-6514-7
    Language: English
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    Online Resource
    FU Berlin
    Charité
  • 2
    Online Resource
    Online Resource
    Government bonds and their investors : what are the facts and do they matter? (2012)
    Washington :International Monetary Fund,
    Details
    UID:
    edocfu_9958094785302883
    Format: 1 online resource (32 p.)
    Edition: 1st ed.
    ISBN: 1-4755-9432-1 , 1-4755-7005-8
    Series Statement: IMF working paper ; 12/158
    Content: This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points.
    Note: Description based upon print version of record. , Cover; Contents; I. Introduction; II. The Dataset; III. What are the Facts?; IV. Does the Investor Base Matter?; A. Background; B. How Is the Investor Base Related to Yields?; C. Do Portfolio Shifts Affect Expected Bond Returns?; V. Conclusions; References , English
    Additional Edition: ISBN 1-4755-0451-9
    Additional Edition: ISBN 1-4755-3856-1
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    FU Berlin
    Charité
  • 3
    Online Resource
    Online Resource
    Capital market development in a small country : the case of Slovenia (2007)
    Washington, D.C. :International Monetary Fund, Monetary and Capital Markets Dept.,
    Details
    UID:
    edocfu_9958061616502883
    Format: 1 online resource (26 p.)
    ISBN: 1-4623-8911-2 , 1-4527-2387-7 , 1-282-55795-5 , 1-4519-1246-3 , 9786613822222
    Series Statement: IMF working paper ; WP/07/229
    Content: Small emerging economies, despite their significant growth, lack the scale to develop thriving capital markets from their local investor and issuer base that are able to deliver the benefits of a large, mature market. Slovenia is such an example. Despite the necessary infrastructure in place, trading has remained thin and issuance activity has been dormant. This paper proposes a two-pronged strategy for capital market development that leverages the existing setup in the context of regional integration such as within the EU. While using the case of Slovenia, this path might be indicative for other small countries that are part of a larger economically integrated region.
    Note: "September 2007." , Contents; Acronyms; I. Introduction; II. State of Development of the Slovene Capital Markets; A. Capital Market Size and Volume; Boxes; 1. The Rise and the Fall of TUVL; B. Issuer and Investor Base; C. Infrastructure; D. Regulation; III. Developing Capital Markets in Slovenia; A. International Capital Market Integration; Tables; 1. International Capital Market Development; 2. Integration of Trade and Settlement Infrastructure in Europe; B. Domestic Capital Market Development; 2. Domestic Capital Market Development; 3. SME Securitization: The Spanish Case; IV. Conclusion; References , English
    Additional Edition: ISBN 1-4518-6793-X
    Language: English
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    Online Resource
    FU Berlin
    Charité
  • 4
    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, Middle East and Central Asia Dept.,
    Details
    UID:
    edocfu_9958072909302883
    Format: 1 online resource (14 p.)
    ISBN: 1-4623-5084-4 , 1-4527-7841-8 , 1-282-59101-0 , 9786613822659 , 1-4519-0680-3
    Series Statement: IMF working paper ; WP/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.
    Note: "June 2005." , ""Contents""; ""I. INTRODUCTION""; ""II. CDS SPREADS AS A MEASURE OF THE MARGINAL COST OF BORROWING""; ""III. RESTRUCTURING AS A CREDIT EVENT""; ""IV. RECOVERY VALUE IN THEORY AND PRACTICE""; ""V. METHODOLOGY: A TWO-STEP PROCESS IN CALCULATING CDS SPREADS USING CTD BONDS""; ""VI. CONCLUSION""; ""ANALYTICAL BOX ON CDS PRICING""; ""REFERENCES"" , English
    Additional Edition: ISBN 1-4518-6144-3
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    FU Berlin
    Charité
  • 5
    Online Resource
    Online Resource
    The impact of macroeconomic announcements on emerging market bonds / (2005)
    Washington, D.C. :International Monetary Fund, Policy Development and Review Dept.,
    Details
    UID:
    edocfu_9958074023602883
    Format: 1 online resource (32 p.)
    ISBN: 1-4623-9927-4 , 1-4527-6026-8 , 1-283-51166-5 , 1-4519-0638-2 , 9786613824110
    Series Statement: IMF working paper ; WP/05/83
    Content: This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI.
    Note: "April 2005." , ""Contents""; ""I. INTRODUCTION""; ""II. LITERATURE REVIEW""; ""III. DATA""; ""IV. METHODOLOGICAL APPROACH""; ""V. RESULTS""; ""VI. CONCLUSION""; ""References"" , English
    Additional Edition: ISBN 1-4518-6102-8
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    FU Berlin
    Charité
  • 6
    Online Resource
    Online Resource
    Resolving Residential Mortgage Distress : Time to Modify? (2014)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845955861
    Format: Online-Ressource (37 p)
    Edition: Online-Ausg.
    ISBN: 1484395743 , 9781484395745
    Series Statement: IMF Working Papers: Working Paper No. 14 / 226
    Content: In housing crises, high mortgage debt can feed a vicious circle of falling housing prices and declining consumption and incomes, leading to higher mortgage defaults and deeper recessions. In such situations, resolution policies may need to be adapted to help contain negative feedback loops while minimizing overall loan losses and moral hazard. Drawing on recent experiences from Iceland, Ireland, Spain, and the United States, this paper discusses how economic trade-offs affecting mortgage resolution differ in crises. Depending on country circumstances, the economic benefits of temporary forbearance and loan modifications for struggling households could outweigh their costs
    Additional Edition: Erscheint auch als Druck-Ausgabe Andritzky, Jochen Resolving Residential Mortgage Distress: Time to Modify? Washington, D.C. : International Monetary Fund, 2014 ISBN 9781484395745
    Language: English
    DOI: 10.5089/9781484395745.001
    URL: kostenfrei
    URL: kostenfrei
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    Online Resource
    Open Access Request
    Stabi Berlin
  • 7
    Online Resource
    Online Resource
    Government Bonds and their Investors : What Are the Facts and Do they Matter? (2012)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845831038
    Format: Online-Ressource (30 p)
    Edition: Online-Ausg.
    ISBN: 1475504519 , 9781475504514
    Series Statement: IMF Working Papers Working Paper No. 12/158
    Content: This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points
    Additional Edition: Erscheint auch als Druck-Ausgabe Andritzky, Jochen Government Bonds and their Investors: What Are the Facts and Do they Matter? Washington, D.C. : International Monetary Fund, 2012 ISBN 9781475504514
    Language: English
    DOI: 10.5089/9781475504514.001
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    Open Access Request
    Stabi Berlin
  • 8
    Online Resource
    Online Resource
    Evaluating Designs for a Fiscal Rule in Bulgaria (2011)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845841610
    Format: Online-Ressource (25 p)
    Edition: Online-Ausg.
    ISBN: 1463925271 , 9781463925277
    Series Statement: IMF Working Papers Working Paper No. 11/272
    Content: The enhanced Stability and Growth Pact calls on euro area members and aspirants to set boundaries to fiscal deficits through high-level legislation. A limit on the deficit, such as the deficit ceiling in Bulgaria''s organic budget law, serves to protect solvency. The recent crisis clearly indicated that the key challenges are not only to contain the deficit but also to avoid a procyclical stance during upswings and to build a buffer for rainy days. Ideally, fiscal policymaking is guided by a fiscal rule that adapts through the economic cycle. This paper lays out the objectives of fiscal rules and analyzes how these objectives can be met in Bulgaria through either a growth-adjusted balance rule or an expenditure rule complemented by a deficit ceiling
    Additional Edition: Erscheint auch als Druck-Ausgabe Andritzky, Jochen Evaluating Designs for a Fiscal Rule in Bulgaria Washington, D.C. : International Monetary Fund, 2011 ISBN 9781463925277
    Language: English
    DOI: 10.5089/9781463925277.001
    URL: kostenfrei
    URL: kostenfrei
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    Online Resource
    Open Access Request
    Stabi Berlin
  • 9
    Online Resource
    Online Resource
    The Impact of Macroeconomic Announcementson Emerging Market Bonds (2005)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845876902
    Format: Online-Ressource (31 p)
    Edition: Online-Ausg.
    ISBN: 1451861028 , 9781451861020
    Series Statement: IMF Working Papers Working Paper No. 05/83
    Content: This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while rating actions cause greater volatility. Results are broadly robust to country-specific and panel analyses, assuming conditional variance and controlling for the surprise content of news. In subsamples, announcements are found to matter less for countries with more transparent policies and higher credit ratings. In a crisis, rating actions become less important, and investors focus more on simple and timely indicators, like CPI
    Additional Edition: Erscheint auch als Druck-Ausgabe Andritzky, Jochen The Impact of Macroeconomic Announcements on Emerging Market Bonds Washington, D.C. : International Monetary Fund, 2005 ISBN 9781451861020
    Language: English
    DOI: 10.5089/9781451861020.001
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    Open Access Request
    Stabi Berlin
  • 10
    Online Resource
    Online Resource
    Capital Market Development in a Small Country : The Case of Slovenia (2007)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_84587991X
    Format: Online-Ressource (24 p)
    Edition: Online-Ausg.
    ISBN: 145186793X , 9781451867930
    Series Statement: IMF Working Papers Working Paper No. 07/229
    Content: Small emerging economies, despite their significant growth, lack the scale to develop thriving capital markets from their local investor and issuer base that are able to deliver the benefits of a large, mature market. Slovenia is such an example. Despite the necessary infrastructure in place, trading has remained thin and issuance activity has been dormant. This paper proposes a two-pronged strategy for capital market development that leverages the existing setup in the context of regional integration such as within the EU. While using the case of Slovenia, this path might be indicative for other small countries that are part of a larger economically integrated region
    Additional Edition: Erscheint auch als Druck-Ausgabe Andritzky, Jochen Capital Market Development in a Small Country: The Case of Slovenia Washington, D.C. : International Monetary Fund, 2007 ISBN 9781451867930
    Language: English
    DOI: 10.5089/9781451867930.001
    URL: kostenfrei
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Open Access Request
    Stabi Berlin
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