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Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets

Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets »

Source: Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets

Volume/Issue: 2010/10

Series: IMF Working Papers

Author(s): Udaibir Das , Michael Papaioannou , and Christoph Trebesch

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961942

Keywords: Sovereign default, Private sector access, capital markets, external borrowing, sovereign defaults,

Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging mar...

Singapore

Singapore »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

Singapore: Selected Issues

Singapore: Selected Issues »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

Singapore: Selected Issues

Singapore: Selected Issues »

Source: Singapore : Selected Issues

Volume/Issue: 2008/281

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 August 2008

ISBN: 9781451834284

Keywords: regional banks, banking system, probability of default, banking stability

This Selected Issues paper assesses the stability of Singapore's banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fisc...

The END

The END »

Source: The END : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Volume/Issue: 2005/231

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Toni Gravelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

ISBN: 9781451862508

Keywords: Corporate Vulnerability, Default Probability, probability, probabilities, correlation, International Finance: General,

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is ge...

Rating the Rating Agencies

Rating the Rating Agencies »

Source: Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises?

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Assessing Corporate Vulnerabilities in Indonesia

Assessing Corporate Vulnerabilities in Indonesia »

Source: Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis

Volume/Issue: 2017/97

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Weimin Miao , Ken Miyajima , and Jongsoon Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 April 2017

ISBN: 9781475595130

Keywords: Indonesia, Corporate sector, Asia and Pacific, bottom-up default analysis, default risk, scenario analysis, simulation, hazard rate models, Model Evaluation and Testing, General

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bot...

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance »

Source: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Volume/Issue: 2006/104

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863642

Keywords: Default probability, security prices, financial surveillance, probabilities, probability, bond, equation, credit derivatives,

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and...

Sovereign Default, Private Sector Creditors and the IFIs

Sovereign Default, Private Sector Creditors and the IFIs »

Source: Sovereign Default, Private Sector Creditors and the IFIs

Volume/Issue: 2009/46

Series: IMF Working Papers

Author(s): Emine Boz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451871944

Keywords: sovereign debt and default, IFIs, debt, commercial debt, creditors, interest, private sector creditors,

This paper builds a model of a sovereign borrower that has access to credit from private sector creditors and an IFI. Private sector creditors and the IFI offer different debt contracts that are modelled based on t...

Pricing Sovereign Debt in Resource-Rich Economies

Pricing Sovereign Debt in Resource-Rich Economies »

Source: Pricing Sovereign Debt in Resource-Rich Economies

Volume/Issue: 2019/240

Series: IMF Working Papers

Author(s): Thomas McGregor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2019

ISBN: 9781513516431

Keywords: Market interest rates, Economic conditions, Financial crises, Real interest rates, Commodity price fluctuations, Risk premium, natural resources, sovereign debt, and default, development

How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a stochastic general equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous s...