| Description |
1 online resource (21 pages) : illustrations |
| Series |
IMF working paper ; WP/10/108 |
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IMF working paper ; WP/10/108.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. A First Glimpse on the Potential Exposure to Foreign Banks; 1. Foreign banks' claims on selected emerging market countries; 2. Foreign banks' claims on Chile, by bank nationality; 1. Chile: Foreign bank claims, in percent of total; III. Assessing the Impact of the Crisis using Market Information; A. Expected Default Frequency (EDF) Measures; 3. EDFs and equivalent Moody's credit ratings; B. Data; 4. Financial institutions included in the analysis; 2. 5-year EDFs, in percent |
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C. Empirical Method: Corisk estimation using Quantile Regressions3. Aggregate risk factor; IV. Results; 5. Corisk between domestic and foreign institutions, measured as EDF (in percent); 6. Corisk between domestic and foreign institutions, measured as Moody's credit ratings; 7. Corisk between domestic institutions, measured as EDF (in percent) and implied Moody's credit ratings; V. Conclusions; References; Footnotes |
| Summary |
"This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that could help strengthen work on vulnerability indicators and off-site supervision. The analysis is based on the study of default risk codependence, or CoRisk, between Chilean banks and global financial institutions. The results suggest that the impact of the global financial crisis was limited, inducing at most a one-rating downgrade to banks operating in Chile. The paper concludes by assessing government measures aimed at reducing systemic risk in the domestic banking sector and the recommendations to allocate SWF assets to domestic banks." |
| Bibliography |
Includes bibliographical references (pages 20-21) |
| Notes |
Print version record |
| Subject |
Global Financial Crisis, 2008-2009.
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Financial crises -- Chile -- Econometric models
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Banks and banking -- Chile -- Econometric models
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Banks and banking -- Econometric models
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Financial crises -- Econometric models
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Chile
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| Form |
Electronic book
|
| Author |
International Monetary Fund. Western Hemisphere Department, issuing body.
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| ISBN |
9781452772240 |
|
145277224X |
|
1282845942 |
|
9781282845947 |
|
9781455200672 |
|
1455200670 |
|
1462395090 |
|
9781462395095 |
|
9786612845949 |
|
6612845945 |
|
