IMF Global Financial Stability Report -- Financial Market Turbulence: Causes, Consequences, and Policies, October 2007 -- Contents
Global Financial Stability Report, September 24, 2007
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- IMF Global Financial Stability Report -- Financial Market Turbulence: Causes, Consequences, and Policies, October 2007 -- Contents
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Bibliographic details
- Authors: Mr. Jaime Caruana, Director of the Monetary, Capital Markets Department
- Published: September 24, 2007
- Series: Global Financial Stability Report
Report overview and access
- Publication title: Financial Market Turbulence: Causes, Consequences, and Policies
- Date on site: September 2007
- Format and access elements listed on the page:
- Executive Summary (90KB pdf file)
- Video summary of the Global Financial Stability Report by Mr. Jaime Caruana
- Video Clips of the Global Financial Stability Report Press Briefing by Mr. Jaime Caruana
- Full Text PDFs for chapters with file sizes included:
- Chapter I. Assessing Risks To Global Financial Stability — Full Text (616KB pdf file) | Summary
- Chapter II. Do Market Risk Management Techniques Amplify Systemic Risks? — Full Text (336KB pdf file) | Summary
- Chapter III. The Quality of Domestic Financial Markets and Capital Inflows — Full Text (308KB pdf file) | Summary
- Glossary (107KB pdf file)
- Statistical Appendix (1,321KB pdf file)
- Annex: Summing Up by the Acting Chair
- Webcasts and transcripts:
- Webcast of Press Conference on the Global Financial Stability Report Update, October 16, 2007 — Video by Mr. Jaime Caruana, Director of the Monetary and Capital Markets Department
- Webcast of Press Conference on the Global Financial Stability Report, September 24, 2007
- Transcript of Press Conference on the Global Financial Stability Report, September 24, 2007
Chapter I — Assessing Risks To Global Financial Stability (structure and topics)
- Subsections and topics listed:
- Global Financial Stability Map
- Credit Indiscipline in Mature Markets
- Weaker Credit and Market Discipline Warrants Increased Surveillance in Emerging Markets
- Investment Inflows into Emerging Markets—Do They Destabilize Local Markets?
- Policy Challenges
- Annexes and references:
- Annex 1.1. The Global Financial Stability Map
- Annex 1.2. Sovereign Wealth Funds
- References
Chapter II — Do Market Risk Management Techniques Amplify Systemic Risks? (structure and topics)
- Subsections and topics listed:
- VaR and Other Risk Management Techniques
- Assessing Amplification Effects in a Stylized Market Risk Management Framework
- Developments in Market Risk Management Practices by Banks and Hedge Funds
- Observations
- Policy Implications
- Conclusions
Chapter III — The Quality of Domestic Financial Markets and Capital Inflows (structure and topics)
- Subsections and topics listed:
- Does Domestic Financial Development Help Determine Capital Inflows?
- Challenges Associated with Capital Inflows and Policy Responses: Case Studies
- Key Results and Conclusions
- Annexes:
- Annex 3.1. Estimation Specification and Results
- Annex 3.2. Experiences with Recent Capital Inflows: Brazil, India, Romania, South Africa, and Vietnam
- Annex 3.3 Experiences with Recent Capital Inflows: Selected Countries
Boxes (selected)
- Chapter 1 boxes include:
- 1.1 Estimates of Nonprime Mortgage Losses
- 1.2 Concerns in the Asset-Backed Commercial Paper Market
- 1.3 Equity Inflows and Emerging Markets
- 1.4 The Role of Hedge Funds in Emerging Asia
- 1.5 Sovereign Wealth Funds: A Statistical Perspective
- Chapter 2 boxes include:
- 2.1 Criticism of VaR-Based Risk Management Models and Alternatives
- 2.2 The Basics for Constructing VaR Measures
- 2.3 Risk Measurement and Disclosure Practices of Financial Institutions
- 2.4 The Amaranth Hedge Fund Failure and Liquidity Risk
- Chapter 3 boxes include:
- 3.1 Recent Developments with Capital Flows in Emerging Asia and Latin America
- 3.2 Discussions with Investors into Emerging Markets: Do "Micro" Financial Factors Attract International Capital?
- 3.3 How Investors Gain Exposure to an Emerging Market in the Presence of Capital Controls: The Case of India
Tables (selected headings and topics)
- Examples of table topics listed on the contents page:
- Weakening Discipline in Subprime is Mirrored in Leveraged Buyouts
- Private Equity Deal Scenarios
- Stylized Example of a Forced Unwind of Leverage
- Typical Haircut: Bond, Leveraged Loan, and ABS and CDOs
- Structure of External Financing and Banking System Soundness and Ownership
- 1.6 Changes in Risks and Conditions Since the April 2007 Global Financial Stability Report
- 1.7 Size and Structure of Major Sovereign Wealth Funds
- Panel Least-Squares and Panel Generalized Method of Moments estimations of determinants of capital inflows (various tables)
Figures and charts (selected)
- Asset prices, spreads, volatility, and flow indicators listed include:
- Selected Asset Class Returns
- U.S. High-Yield Corporate Bonds Spreads Index
- Probability of Multiple Defaults in Select Scenarios
- Gross Debt Issuance by Sector
- Nonprime 60-Day Delinquencies by Mortgage Vintage Year
- Monthly Mortgage Rate Resets
- Representative Spreads of Mortgage-Backed ABS and CDOs
- Mortgage Market Flows and Risk Exposure
- Buyers of ABS CDOs
- U.S. CDO Outstanding Volume
- Number of Covenant-Lite Loans to Total Number of Institutional Term Loans
- Major Bank Exposures to Leveraged Buyout Pipeline
- Interest Coverage Statistics on Private Equity
- U.S. Money Market Interest Rates
- Emerging Market Private Loan Placements
- Growth in External Funding of Banks and Private Sector Credit in 2006
- Correlation of Credit Growth with Growth in Foreign Financing of Banks, 2004-06
- Emerging Asia: Short-Term Foreign-Currency-Denominated Borrowing
- Korea: Foreign-Currency-Denominated Loans of Commercial, Special, and Foreign Banks
- Price/Earnings Ratios
- Correlation of Emerging and Mature Market Equities
- Net Flows in Emerging Market Equities, May-June 2006
- Emerging Market Hedge Fund Allocations
- Global Financial Stability Map panels for Monetary and Financial Conditions; Risk Appetite; Macroeconomic Risks; Emerging Market Risks; Credit Risks; Market and Liquidity Risks
- Implied Volatility Indices
- Backtesting Results and VaR comparisons (multiple figures and scenarios)
Additional content noted on the page
- About the Global Financial Stability Report and Global Financial Stability Reports series information
- Email notification sign-up and profile modification links
- Ordering Information: The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.*
*On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries.
Italic source attribution line.
Content in this bundle
- IMF Global Financial Stability Report-- Annex: Summing up by the Acting Chair; September 2007.
- Global Financial Stability -- IMF Global Financial Stability Report, Chapter 1. September 2007.
- Chapter 2: Do Market Risk Management Techniques Amplify Systemic Risks?
- Chapter 3
- Glossary
- Statappxpdf
- Press Points for Chapter 1: Assessing Risks to Global Financial Stability
- Do Market Risk Management Techniques Amplify Systemic Risks?
- Press points for Chapter 3: The Quality of Domestic Financial Markets and Capital Inflows
- _summarypdf
- Global Financial Stability Report — Preface and Chapters 1–3
References
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- Transcript
- About the Global Financial Stability Report
- Global Financial Stability Reports
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