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| Executive Summary(90KB pdf file) |
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| Video summary of the Global Financial Stability Report by Mr. Jaime Caruana |
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| Video Clips of the Global Financial Stability Report Press Briefing by Mr. Jaime Caruana |
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| Chapter I. Assessing Risks To Global Financial Stability |
| Full Text (616KB pdf file)
| Summary |
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Global Financial Stability Map |
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Credit Indiscipline in Mature Markets |
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Weaker Credit and Market Discipline Warrants Increased Surveillance in Emerging Markets |
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Investment Inflows into Emerging Markets—Do They Destabilize Local Markets? |
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Policy Challenges |
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Annex 1.1. The Global Financial Stability Map |
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Annex 1.2. Sovereign Wealth Funds |
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References |
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| Chapter II. Do Market Risk Management Techniques Amplify Systemic Risks? |
| Full Text (336KB pdf file)
| Summary |
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VaR and Other Risk Management Techniques |
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Assessing Amplification Effects in a Stylized Market Risk Management Framework |
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Developments in Market Risk Management Practices by Banks and Hedge Funds |
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Observations |
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Policy Implications |
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Conclusions |
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References |
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| Chapter III. The Quality of Domestic Financial Markets and Capital Inflows |
| Full Text (308KB pdf file)
| Summary |
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Does Domestic Financial Development Help Determine Capital Inflows? |
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Challenges Associated with Capital Inflows and Policy Responses: Case Studies |
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Key Results and Conclusions |
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Annex 3.1. Estimation Specification and Results |
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Annex 3.2. Experiences with Recent Capital Inflows: Brazil, India, Romania, South Africa, and Vietnam |
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Annex 3.3 Experiences with Recent Capital Inflows: Selected Countries |
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References |
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| Glossary (107KB pdf file) |
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| Annex: Summing Up by the Acting Chair |
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| Statistical Appendix (1,321KB pdf file) |
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| Boxes |
| 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 |
| 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 |
| 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 |
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| Tables |
| 1.1 |
Weakening Discipline in Subprime is Mirrored in Leveraged Buyouts |
| 1.2 |
Private Equity Deal Scenarios |
| 1.3 |
Stylized Example of a Forced Unwind of Leverage |
| 1.4 |
Typical Haircut: Bond, Leveraged Loan, and ABS and CDOs |
| 1.5 |
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 |
| 2.1 |
Selected Correlation Coefficients Between Asset Classes in the Interactive Model |
| 3.1 |
Panel Least-Squares Estimation of the Determinants of Total Capital Inflows |
| 3.2 |
Panel Generalized Method of Moments Estimation of the Determinants of the Standard Deviation of Total Capital Inflows, 1998-2006 |
| 3.3 |
Indicators for Selected Countries, 2001 and 2006 |
| 3.4 |
Descriptive Statistics for Variables Used in Panel Regressions, 1975-2006 |
| 3.5 |
Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (All Countries, Full Sample) |
| 3.6 |
Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (Emerging Market Economies, Full Sample) |
| 3.7 |
Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (All Countries, 1998-2006) |
| 3.8 |
Fixed-Effects Panel Least-Squares Estimation of the Determinants of Capital Inflows (Emerging Market Economies, 1998-2006) |
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| Figures |
| 1.1 |
Global Financial Stability Map |
| 1.2 |
Selected Asset Class Returns |
| 1.3 |
U.S. High-Yield Corporate Bonds Spreads Index |
| 1.4 |
Probability of Multiple Defaults in Select Scenarios |
| 1.5 |
Gross Debt Issuance by Sector |
| 1.6 |
Nonprime 60-Day Delinquencies by Mortgage Vintage Year |
| 1.7 |
Monthly Mortgage Rate Resets |
| 1.8 |
Rising Number of Downgrades of Mortgage-Related Products |
| 1.9 |
Representative Spreads of Mortgage-Backed ABS and CDOs |
| 1.10 |
Mortgage Market Flows and Risk Exposure |
| 1.11 |
Buyers of ABS CDOs |
| 1.12 |
U.S. CDO Outstanding Volume |
| 1.13 |
Number of Covenant-Lite Loans to Total Number of Institutional Term Loans |
| 1.14 |
Major Bank Exposures to Leveraged Buyout Pipeline |
| 1.15 |
Interest Coverage Statistics on Private Equity |
| 1.16 |
U.S. Money Market Interest Rates |
| 1.17 |
Emerging Market Private Loan Placements |
| 1.18 |
Growth in External Funding of Banks and Private Sector Credit in 2006 |
| 1.19 |
Correlation of Credit Growth with Growth in Foreign Financing of Banks, 2004-06 |
| 1.20 |
Emerging Asia: Short-Term Foreign-Currency-Denominated Borrowing |
| 1.21 |
Korea: Foreign-Currency-Denominated Loans of Commercial, Special, and Foreign Banks |
| 1.22 |
Price/Earnings Ratios |
| 1.23 |
Correlation of Emerging and Mature Market Equities |
| 1.24 |
Net Flows in Emerging Market Equities, May-June 2006 |
| 1.25 |
Emerging Market Hedge Fund Allocations |
| 1.26 |
Global Financial Stability Map: Monetary and Financial Conditions |
| 1.27 |
Global Financial Stability Map: Risk Appetite |
| 1.28 |
Global Financial Stability Map: Macroeconomic Risks |
| 1.29 |
Global Financial Stability Map: Emerging Market Risks |
| 1.30 |
Global Financial Stability Map: Credit Risks |
| 1.31 |
Global Financial Stability Map: Market and Liquidity Risks |
| 2.1 |
Implied Volatility Indices |
| 2.2 |
Backtesting Results: Broad Portfolio, October 1997 to October 1998 |
| 2.3 |
Backtesting Results: Broad Portfolio, June 2006 to June 2007 |
| 2.4 |
VaR in an Era of Declining Volatilities |
| 2.5 |
VaR Measures: Historical Simulation versus EWMA |
| 2.6 |
Asian Crisis: Stressed VaR Estimates at the 99 Percent Confidence Level |
| 2.7 |
August 1998: VaR Estimates at the 99 Percent Confidence Level |
| 2.8 |
Long-Term Capital Management Scenario: EWMA versus Historical Simulation, March 2007 |
| 2.9 |
Asset Price Dynamics Under Alternative Model Specifications |
| 2.10 |
Selected Asset Volatilities Under the Interactive Model |
| 3.1 |
Total Capital Inflows |
| 3.2 |
Composition of Capital Inflows |
| 3.3 |
Market Infrastructure and Volatility of Total Capital Inflows |
