Limit search to available items
Book Cover
E-book
Author Chan-Lau, Jorge A., author

Title The credit risk transfer market and stability implications for U.K. financial institutions / Jorge A. Chan-Lau and Li Lian Ong
Published [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006

Copies

Description 1 online resource (25 pages) : illustrations
Series IMF working paper, 2227-8885 ; WP/06/139
IMF working paper ; WP/06/139.
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
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
Bibliography Includes bibliographical references
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
Print version record
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL
Subject Credit derivatives -- Great Britain
Derivative securities -- Great Britain
Credit derivatives
Derivative securities
Great Britain
Form Electronic book
Author Ong, Li Lian, author
International Monetary Fund. Monetary and Financial Systems Department.
ISBN 9781451909180
1451909187