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  • 1
    Online Resource
    Online Resource
    Fundamental determinants of credit default risk for European large complex financial institutions / (2010)
    [Washington, D.C.] :International Monetary Fund,
    Details
    UID:
    edoccha_9958120565702883
    Format: 1 online resource (51 p.)
    ISBN: 1-4623-3253-6 , 1-4552-7981-1 , 1-282-84625-6 , 9786612846250 , 1-4552-0136-7
    Series Statement: IMF working paper ; WP/10/153
    Content: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.
    Note: "June 2010". , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. CDS and Recapitalization; II. Methodology; III. Definition of the Dependent and Explanatory Variables; IV. Data Sample; 1. Data Summary Statistics; V. Estimation Results; A. Baseline Model; 2. Results: Baseline Model; B. Robustness to Alternative CAMEL Indicators; 3. Results: Two-step Estimates of the Baseline with Alternative CAMEL Indicators; C. Robustness to Alternative Market Risk Indicators; 4. Results: Two-step Estimates of the Baseline with Alternative Market Risk Indicators , VI. Concluding Remarks and Policy ImplicationsI. CDS Spreads and LCFI Interventions; II. Fundamental Risk from LCFI's Risk-Return Profile; References; Footnotes
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    FU Berlin
    Charité
  • 2
    Online Resource
    Online Resource
    The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions (2010)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845896016
    Format: Online-Ressource (31 p)
    Edition: Online-Ausg.
    ISBN: 1455201367 , 9781455201365
    Series Statement: IMF Working Papers Working Paper No. 10/153
    Content: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs
    Additional Edition: Erscheint auch als Druck-Ausgabe Podpiera, Jiri The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions Washington, D.C. : International Monetary Fund, 2010 ISBN 9781455201365
    Language: English
    DOI: 10.5089/9781455201365.001
    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
  • 3
    Online Resource
    Online Resource
    The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions / (2010)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    almafu_9958120565702883
    Format: 1 online resource (51 p.)
    ISBN: 9786612846250 , 9781462332533 , 1462332536 , 9781455279814 , 1455279811 , 9781282846258 , 1282846256 , 9781455201365 , 1455201367
    Series Statement: IMF Working Papers
    Content: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.
    Note: "June 2010". , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. CDS and Recapitalization; II. Methodology; III. Definition of the Dependent and Explanatory Variables; IV. Data Sample; 1. Data Summary Statistics; V. Estimation Results; A. Baseline Model; 2. Results: Baseline Model; B. Robustness to Alternative CAMEL Indicators; 3. Results: Two-step Estimates of the Baseline with Alternative CAMEL Indicators; C. Robustness to Alternative Market Risk Indicators; 4. Results: Two-step Estimates of the Baseline with Alternative Market Risk Indicators , VI. Concluding Remarks and Policy ImplicationsI. CDS Spreads and LCFI Interventions; II. Fundamental Risk from LCFI's Risk-Return Profile; References; Footnotes
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    FU Berlin
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