Author/Editor: C. A. E. Goodhart, Miguel A. Segoviano Basurto.

Release Date:September, 2015

Banks’ living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger more...

Author/Editor: Miguel A. Segoviano Basurto, Bradley Jones, Peter Lindner, Johannes Blankenheim.

Release Date:January, 2015

The discussion in this note seeks to preserve the beneficial features of securitization while mitigating those that may pose risks to financial stability. A comprehensive set of reforms—targeting more...

Author/Editor: Miguel A. Segoviano Basurto, Raphael A. Espinoza.

Release Date:April, 2011

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for more...

Author/Editor: Miguel A. Segoviano Basurto, Carlos Caceres, Vincenzo Guzzo.

Release Date:May, 2010

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk more...

Author/Editor: C. A. E. Goodhart, Miguel A. Segoviano Basurto.

Release Date:January, 2009

This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary more...

Author/Editor: Manmohan Singh, Miguel A. Segoviano Basurto.

Release Date:November, 2008

The financial market turmoil of recent months has highlighted the importance of counterparty risk. Here, we discuss counterparty risk that may stem from the OTC derivatives markets and attempt to more...