Dale F. Gray's Books

Systemic Contingent Claims Analysis

Estimating Market-Implied Systemic Risk

By: Mr.Andreas A. Jobst,Mr.Dale F. Gray

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Systemic Contingent Claims Analysis

Estimating Market-Implied Systemic Risk

By: Mr.Andreas A. Jobst,Mr.Dale F. Gray

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.

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International Monetary Fund

Published Date

ISBN 10

1475572786

ISBN 13

9781475572780

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

By: Mr.Dale F. Gray

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Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

By: Mr.Dale F. Gray

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.

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International Monetary Fund

Published Date

ISBN 10

1484322185

ISBN 13

9781484322185

Evaluation of Taxes and Revenues From the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries

By: Mr.Dale F. Gray

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Evaluation of Taxes and Revenues From the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries

By: Mr.Dale F. Gray

This paper examines the level and structure of fiscal revenues from the Baltics, Russia, and other former Soviet Union countries’ (BRO) energy sector and suggests reforms in energy tax policy. Revenues from the oil and gas sectors are about half the level that might be expected from international comparisons. Low oil revenues result from infrastructure constraints on oil exports, weak tax administration, and inappropriate tax structures. Low gas revenues are due to low statutory tax rates, a tax structure that does not capture monopoly or resource rents, and weak tax administration. Taxation of oil products could be increased.

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International Monetary Fund

Published Date

ISBN 10

1451845235

ISBN 13

9781451845235

International Transmission of Bank and Corporate Distress

By: Ms.Hiroko Oura,Papa M'B. P. N'Diaye,Qianying Chen,Mr.Dale F. Gray,Ms.Natalia T. Tamirisa

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International Transmission of Bank and Corporate Distress

By: Ms.Hiroko Oura,Papa M'B. P. N'Diaye,Qianying Chen,Mr.Dale F. Gray,Ms.Natalia T. Tamirisa

The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way causality between bank and corporate distress and to significant global macroeconomic and financial spillovers from either type of distress when it originates in a systemic economy. Corporate distress in advanced economies has a larger impact on economic growth in emerging economies than bank distress in advanced economies has. In contrast, activity in advanced economies is more vulnerable to bank distress than to corporate distress.

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International Monetary Fund

Published Date

ISBN 10

1455200832

ISBN 13

9781455200832

A Risk-Based Debt Sustainability Framework

Incorporating Balance Sheets and Uncertainty

By: Ms.Elena Loukoianova,Cheng Hoon Lim,Samuel W. Malone,Mr.Dale F. Gray

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A Risk-Based Debt Sustainability Framework

Incorporating Balance Sheets and Uncertainty

By: Ms.Elena Loukoianova,Cheng Hoon Lim,Samuel W. Malone,Mr.Dale F. Gray

This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to provide a clear and workable complement to traditional debt sustainability analysis which-although it has many useful applications-suffers from the inability to measure risk exposures, default probabilities and credit spreads. Importantly, this new framework can be adapted for policy analysis, including debt and reserve management.

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International Monetary Fund

Published Date

ISBN 10

1451869029

ISBN 13

9781451869026

Incorporating Financial Sector Risk Into Monetary Policy Models

Application to Chile

By: Mr.Dale F. Gray,Carlos Garcia,Mr.Leonardo Luna,Jorge Restrepo

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Incorporating Financial Sector Risk Into Monetary Policy Models

Application to Chile

By: Mr.Dale F. Gray,Carlos Garcia,Mr.Leonardo Luna,Jorge Restrepo

This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability indicator in its monetary policy (interest rate) reaction function. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction function reduces both inflation and output volatility. Moreover, the results are robust to different model calibrations: whenever exchange-rate pass-through is higher; financial vulnerability has a larger impact on the exchange rate, as well as on GDP (or the reverse, there is more effect of GDP on bank's equity - i.e., what we call endogeneity), it is more efficient to include dtd in the reaction function.

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International Monetary Fund

Published Date

ISBN 10

1463921284

ISBN 13

9781463921286

Assessment of Corporate Sector Value and Vulnerability

Links to Exchange Rate and Financial Crises

By: Dale F. Gray

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Assessment of Corporate Sector Value and Vulnerability

Links to Exchange Rate and Financial Crises

By: Dale F. Gray

Once equity has fallen below a certain threshold for a significant period of time, it triggers a suspension of debt payments and distorts incentives for equity holds and managers. But what is a significant period of time? You or I could pay a $10 million annual mortgage payment for a day or two but not two or three months. Similarly, owners and managers can withstand short periods of illiquidity or negative equity but not longer ones. At some point in time, the inability to meet obligations and perception of continued difficulties creates a system-wide breakdown in debt payments." The relationship between the corporate sector and a country's macroeconomy is receiving increased attention from policymakers and investors, especially those affected by the Asian crisis. Recent crises have pointed out the importance of improving our understanding of the links between the corporate sector, the financial sector, and the macroeconomy in a world of volatile capital flows. Assessing the vulnerability of the corporate sector and its links to financial and exchange rate crisis is important for both improved surveillance and in the design of policies in crisis countries. However, the analytical and operational tools available to policymakers and investors to analyze this problem have been limited. This Technical Paper was prepared as part of an initiative to develop new frameworks which can integrate state-of-the art corporate finance principles, macroeconomic, and financial sector analysis. An innovative yet practical framework is provided which has numerous applications for assessing corporate sector vulnerability, design of corporate restructuring strategies, as well as financial sector and macroeconomic policies. It will be of interest to bankers, economic policymakers, corporate finance specialists, and macroeconomists.

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World Bank Publications

Published Date

ISBN 10

0821346032

ISBN 13

9780821346037

Macrofinancial Risk Analysis

By: Dale Gray,Samuel Malone

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Macrofinancial Risk Analysis

By: Dale Gray,Samuel Malone

Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.

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362

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470756322

ISBN 13

9780470756324

Dry Creek

Archaeology and Paleoecology of a Late Pleistocene Alaskan Hunting Camp

By: W. Roger Powers,R. Dale Guthrie,John F. Hoffecker

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Dry Creek

Archaeology and Paleoecology of a Late Pleistocene Alaskan Hunting Camp

By: W. Roger Powers,R. Dale Guthrie,John F. Hoffecker

With cultural remains dated unequivocally to 13,000 calendar years ago, Dry Creek assumed major importance upon its excavation and study by W. Roger Powers. The site was the first to conclusively demonstrate a human presence that could be dated to the same time as the Bering Land Bridge. As Powers and his team studied the site, their work verified initial expectations. Unfortunately, the research was never fully published. Dry Creek: The Archaeology and Paleoecology of a Late Pleistocene Alaskan Hunting Camp is ready to take its rightful place in the ongoing research into the peopling of the Americas. Containing the original research, this book also updates and reconsiders Dry Creek in light of more recent discoveries and analysis.

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344

Publisher

Texas A&M University Press

Published Date

ISBN 10

1623495385

ISBN 13

9781623495381

Book's by Dale F. Gray

Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Evaluation of Taxes and Revenues From the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries

Evaluation of Taxes and Revenues From the Energy Sector in the Baltics, Russia, and Other Former Soviet Union Countries

International Transmission of Bank and Corporate Distress

International Transmission of Bank and Corporate Distress

A Risk-Based Debt Sustainability Framework

A Risk-Based Debt Sustainability Framework

Incorporating Financial Sector Risk Into Monetary Policy Models

Incorporating Financial Sector Risk Into Monetary Policy Models

Assessment of Corporate Sector Value and Vulnerability

Assessment of Corporate Sector Value and Vulnerability

Macrofinancial Risk Analysis

Macrofinancial Risk Analysis

Dry Creek

Dry Creek

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