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Anticipating Balance of Payments Crises--The Role of Early Warning Systems : The Role of Early Warning Systems »
Series: Occasional Papers
Author(s): Catherine Pattillo , Andrew Berg , Gian Milesi-Ferretti , and Eduardo Borensztein
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 24 January 2000
DOI: http://dx.doi.org/10.5089/9781557758286.084
ISBN: 9781557758286
Keywords: currency crises, probability, balance of payments, contagion, currency crisis
Recent years have witnessed an increase in the frequency of currency and balance of payments crises in developing countries. More important, the crises have become more virulent, have caused widespread disruption t...
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...
Monitoring Banking Sector Fragility »
Source: Monitoring Banking Sector Fragility : A Multivariate Logit Approach
Volume/Issue: 1999/147
Series: IMF Working Papers
Author(s): Enrica Detragiache , and Asli Demirgüç-Kunt
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 1999
ISBN: 9781451856712
Keywords: Banking crises, bank fragility, monitoring, probability, banking, probabilities, banking crisis
This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragilit...
Testing a Disequilibrium Model of Lending Rate Determination »
Source: Testing a Disequilibrium Model of Lending Rate Determination : The Case of Malaysia
Volume/Issue: 1991/84
Series: IMF Working Papers
Author(s): Barry Scholnick
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 1991
ISBN: 9781451954364
Keywords: cointegration, equation, banking, probability, statistics
This study examines whether lending rates cleared the market for loans in Malaysia after interest rate liberalization. It is based on a theoretical model in which adverse selection and marginal cost pricing are bro...
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...
Predicting Emerging Market Currency Crashes »
Source: Predicting Emerging Market Currency Crashes
Volume/Issue: 2002/7
Series: IMF Working Papers
Author(s): W. Perraudin , Manmohan Kumar , and Uma Moorthy
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2002
ISBN: 9781451842425
Keywords: emerging market crises, trading strategies, probability, exchange rate, probabilities, foreign exchange, forecasting
This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading...
Contagion, Monsoons, and Domestic Turmoil in Indonesia »
Source: Contagion, Monsoons, and Domestic Turmoil in Indonesia : A Case Study in the Asian Currency Crisis
Volume/Issue: 2000/60
Series: IMF Working Papers
Author(s): Sweta Saxena , and Valerie Cerra
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2000
ISBN: 9781451848045
Keywords: Economic models, Financial crisis, Indonesia, Currency crisis, Contagion, Markov-switching models, probability, probabilities, asian crisis, equation
This paper investigates whether Indonesia's recent currency crisis was due to domestic fundamentals, common external shocks ('monsoons'), or contagion from neighboring countries. Markov-switching models attribute s...
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 »
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 »
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...