Andreas (Andy) Jobst

International Monetary Fund (IMF) - European Department

Senior Economist

700 19th Street NW

Washington, DC 20431

United States

  • International Monetary Fund (IMF) - European Department

    • Email
    • Tel: +1-202-538-2898
SCHOLARLY PAPERS

52

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45

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195

Scholarly Papers (52)

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1.

A Primer on Structured Finance

Journal of Derivatives and Hedge Funds, Vol. 13, No. 3, ICFAI Journal of Risk Management, 2007
Number of pages: 21 Posted: 02 Nov 2005 Last Revised: 16 Jun 2016
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 9,018 (757)
Citation 7

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structured finance, credit risk transfer, asset-backed securitization (ABS), securitization, mortgage-backed securitization (MBS), collateralized debt obligation (CDO), credit default swap (CDS)

2.

Derivatives in Islamic Finance

Islamic Economic Studies, Vol. 15, No. 1
Number of pages: 33 Posted: 20 Sep 2007 Last Revised: 06 Jan 2010
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 6,836 (1,231)

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derivatives, securitization, structured finance, Islamic banking, Islamic finance, sovereign securitization, shariah compliance, sukuk, mudharaba, ijara, murabaha, riba, istina, gharar, maisir, maslaha

3.

The Economics of Islamic Finance and Securitization

Downloads 6,072 ( 1,506)
Citation 13

The Economics of Islamic Finance and Securitization

Journal of Structured Finance, Vol. 13, No. 1, 2007
Number of pages: 35 Posted: 16 Mar 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 3,842 (3,265)
Citation 2

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securitization, ABS, MBS, structured finance, Islamic banking, Islamic finance, Islamic securitization, sovereign securitization, shariah compliance, sukuk, mudharaba, ijara, murabaha, riba, structured finance

The Economics of Islamic Finance and Securitization

IMF Working Paper No. 07/117
Number of pages: 37 Posted: 16 May 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 2,230 (8,112)

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4.

Asset Securitisation as a Risk Management and Funding Tool: What Does it Hold in Store for Smes?

Downloads 2,415 ( 7,258)

Asset Securitisation as a Risk Management and Funding Tool: What Does it Hold in Store for Smes?

Number of pages: 32 Posted: 11 Apr 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 2,415 (7,128)
Citation 1

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securitisation, ABS, structured finance, SME

Asset Securitisation as a Risk Management and Funding Tool: What Does it Hold in Store for SMES?

Managerial Finance, Vol. 32, No. 9, pp. 731-60
Posted: 21 Jun 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department

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securitisation, ABS, structured finance, SME

5.

Constraints of Consistent Operational Risk Measurement and Regulation: Data Collection and Loss Reporting

Downloads 2,178 ( 8,562)
Citation 10

Constraints of Consistent Operational Risk Measurement and Regulation: Data Collection and Loss Reporting

Journal of Financial Regulation an Compliance, 2007
Number of pages: 27 Posted: 11 Jan 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,532 (14,813)
Citation 1

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risk management, operational risk, risk management, financial regulation, Basel Committee, Basel II, New Basel Capital Accord, fat tail behavior, extreme tail behavior

Constraints of Operational Risk Measurement and the Treatment of Operational Risk Under the New Basel Framework

Number of pages: 62 Posted: 14 Jan 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 646 (51,160)

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risk management, operational risk, risk management, financial regulation, Basel Committee, Basel II, fat tail behavior, extreme tail behavior

6.

Collateralised Loan Obligations (Clos) - a Primer

Number of pages: 103 Posted: 10 Apr 2003
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 2,067 (9,324)
Citation 18

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7.

Operational Risk - The Sting is Still in the Tail But the Poison Depends on the Dose

Downloads 1,811 ( 11,580)
Citation 12

Operational Risk - The Sting is Still in the Tail But the Poison Depends on the Dose

Journal of Operational Risk, Vol. 2, No. 2, 2007
Number of pages: 62 Posted: 17 Nov 2006
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,535 (14,762)

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operational risk, risk management, financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose

IMF Working Paper No. 07/239
Number of pages: 74 Posted: 25 Jan 2008
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 276 (139,352)
Citation 1

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Working Paper, Financial risk, Bank regulations, Risk management, Economic models

8.

European Securitization: A Garch Model of CDO, MBS and Pfandbrief Spreads

Journal of Structured Finance, Vol. 12, No. 1, pp. 55-80, J.W. Goethe Universitaet Frankfurt am Main Finance Working Paper No. 121
Number of pages: 43 Posted: 13 Apr 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,420 (17,004)

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Securitisation, MBS, CDO, CLO, CBO, ABS, Pfandbrief, GARCH model, structured finance, spread dynamics

9.

The Credit Crisis and Operational Risk - Implications for Practitioners and Regulators

Journal of Operational Risk, Vol. 5, No. 2, Summer 2010
Number of pages: 21 Posted: 20 Oct 2009 Last Revised: 08 Jun 2010
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,286 (19,665)

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operational risk, credit crisis, operational risk regulation, systemic risk, systemic liquidity, market infrastructure, re-hypothetication, wholesale funding

10.

Securitisation and its Impact on Financial Market Stability

University of Frankfurt Finance Working Paper No. 336
Number of pages: 28 Posted: 26 Apr 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,168 (22,753)

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11.

Asset Pricing and Investor Risk in Subordinated Asset Securitisation

Number of pages: 47 Posted: 20 Apr 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 1,031 (27,268)
Citation 1

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Securitisation, securitization, asset-backed, ABS, CLO, CDO, structured finance, default term structure

12.

The Treatment of Operational Risk Under the New Basel Framework - Critical Issues

Journal of Banking Regulation, August 2007
Number of pages: 41 Posted: 18 Apr 2007
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 921 (32,054)

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risk management, operational risk, risk management, financial regulation, Basel Committee, Basel II, fat tail behavior, extreme events

13.

The Basle Securitisation Framework Explained: The Regulatory Treatment of Asset Securitisation

Number of pages: 33 Posted: 02 Feb 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 911 (32,551)
Citation 1

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Banking regulation, asset securitisation, Basle Committee, Basle 2

14.

The Pricing Puzzle: The Default Term Structure of Collateralised Loan Obligations

Number of pages: 96 Posted: 07 Apr 2003
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 896 (33,292)
Citation 3

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Loan securitisation, CLO, structured finance

15.

Islamic Bond Issuance - What Sovereign Debt Managers Need to Know

International Journal of Islamic and Middle Eastern Finance and Management, Vol. 1, No. 4, pp. 330-344, 2008, Islamic Law and Law of the Muslim World Paper No. 09-63
Number of pages: 23 Posted: 12 Mar 2009 Last Revised: 07 Jul 2009
Andreas (Andy) Jobst, Peter Kunzel, Paul S. Mills and Amadou Nicolas Racine Sy
International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF), affiliation not provided to SSRN and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 891 (33,517)
Citation 1

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debt management, securitization, structured finance, Islamic banking, Islamic finance, Islamic bond, shari'ah compliance, sukuk, mudharabah, ijara, murabaha, musharaka, riba

16.

Sovereign Securitization in Emerging Markets

Journal of Structured Finance, Vol. 12, No. 3, 2006
Number of pages: 20 Posted: 13 Sep 2006
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 868 (34,761)
Citation 4

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securitization, ABS, MBS, structured finance, asset liability management, sovereign securitization, future flow securitization

17.

Risk Management of Cdos During Times of Stress

Derivatives Week, November 28, 2005
Number of pages: 5 Posted: 06 Dec 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 856 (35,455)

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collateralized debt obligation (CDO), hedging, asset substitution, securitization, managed CDOs, concentration risk

18.

Development of Equity Derivative Markets in Emerging Asia

International Journal of Emerging Markets, Vol. 2, No. 3, 2007
Number of pages: 19 Posted: 17 Dec 2006
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 845 (36,070)

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equity derivatives, derivative markets, hedging, Emerging Asia, capital market development

19.

Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting

IMF Working Paper No. 07/254
Number of pages: 46 Posted: 25 Jan 2008
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 683 (48,189)

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Risk management, Bank regulations, Globalization, Banking systems

20.

Systemic Risk in the Insurance Sector: A Review of Current Assessment Approaches

The Geneva Papers on Risk and Insurance - Issues and Practice (Forthcoming)
Number of pages: 34 Posted: 15 Mar 2012 Last Revised: 16 May 2014
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 392 (95,485)
Citation 1

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financial crisis, insurance sector, macroprudential, systemic risk, SIFI, G-SII

21.

Operative Principles of Islamic Derivatives - Towards a Coherent Theory

IMF Working Paper No. NO.12/63
Number of pages: 33 Posted: 25 Mar 2012
Juan A. Solé and Andreas (Andy) Jobst
International Monetary Fund (IMF) and International Monetary Fund (IMF) - European Department
Downloads 376 (100,201)

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Derivatives, Islamic Risk Management, Islamic Finance, Shari'ah Compliance, Sukuk, Mudaraba, Ijarah, Murabaha, Riba, Istisna, Gharar, Maisir, Maslaha, Financial Instruments, Islamic Banking

22.

An Investigation of Some Macro-Financial Linkages of Securitization

Downloads 365 (103,600)
Citation 1

An Investigation of Some Macro-Financial Linkages of Securitization

Number of pages: 48 Posted: 24 Feb 2009
Mangal Goswami, Andreas (Andy) Jobst and Xin Long
International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department and University of Rome I
Downloads 230 (167,231)
Citation 1

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Securitization, structured finance, financial innovation, macro-financial linkages

An Investigation of Some Macro-Financial Linkages of Securitization

IMF Working Paper No. 09/26
Number of pages: 48 Posted: 11 Mar 2009
Mangal Goswami, Andreas (Andy) Jobst and Xin Long
International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department and University of Rome I
Downloads 135 (267,308)

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Monetary policy, United States, South Africa, Securities markets, Money markets, Capital markets, Market interest rates, Emerging markets, Economic models, Cross country analysis

23.

Asian Equity Markets: Growth, Opportunities, and Challenges

IMF Working Paper No. 06/266
Number of pages: 41 Posted: 12 Jan 2007
Catriona Purfield, Hiroko Oura, Charles Kramer and Andreas (Andy) Jobst
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - Capital Markets and Financial Studies Research Department and International Monetary Fund (IMF) - European Department
Downloads 301 (127,916)

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Stock markets, Asia, Capital markets, Financial stability, International capital markets

24.

ASEAN5 Bond Market Development: Where Does it Stand? Where is it Going?

IMF Working Paper No. 11/137
Number of pages: 33 Posted: 22 Jun 2011
Joshua Felman, Simon Gray, Mangal Goswami, Andreas (Andy) Jobst, Mahmood Pradhan, Shanaka Peiris and Dulani Seneviratne
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF), International Monetary Fund (IMF) - African Department and International Monetary Fund (IMF)
Downloads 293 (131,654)

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Asia, Bond markets, Bonds, Borrowing, Corporate sector, Demand, Indonesia, Investment, Malaysia, Philippines, Singapore, Thailand

25.

Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach

Downloads 287 (134,503)
Citation 5

Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach

IMF Working Paper No. 12/209
Number of pages: 70 Posted: 09 Apr 2013
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 207 (184,984)

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Banking sector, Economic models, Risk management, financial institutions, financial stability, present value, liquidity support, financial system, financial sector, bond, derivative, cash flow, risk-free interest rate, asset liquidation, bond yields, financial markets, partial derivative, government bond, equity market, financial economics, moral hazard, financial contagion, financial intermediaries, money market, government bond yields, financial services, net cash flows, bond prices, financial systems, discount rate, financial intermediation, derivative assets, savings deposits, derivative contract, cash flow models, option valuation, equity markets, cash flows, discounted present value, s

Measuring Systemic Risk-Adjusted Liquidity (SRL) — A Model Approach

Systemic Risk: Liquidity Risk, Governance and Financial Stability
Number of pages: 52 Posted: 01 Apr 2013 Last Revised: 16 May 2014
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 80 (382,442)

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systemic risk, liquidity risk, Net Stable Funding Ratio (NSFR), extreme value theory, financial contagion, macroprudential regulation

26.

Systemic Contingent Claims Analysis – Estimating Market-Implied Systemic Risk

IMF Working Paper No. 13/54
Number of pages: 94 Posted: 15 Mar 2013
Andreas (Andy) Jobst and Dale F. Gray
International Monetary Fund (IMF) - European Department and International Monetary Fund (IMF)
Downloads 248 (155,979)
Citation 3

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27.

Security Issuance and Investor Information

Number of pages: 44 Posted: 18 Apr 2005
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 222 (173,504)

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asset securitisation, security design, security issue, direct revelation mechanism, asymmetric information, auction model, asset securitisation, reservation utility

28.

The Insurance Sector - Trends and Systemic Risk Implications

Global Financial Stability Report, IMF
Number of pages: 32 Posted: 16 Jun 2016
Nico Valckx, Jorge A. Chan-Lau, Alan Feng, Benjamin Huston, Gregorio Impavido, Andreas (Andy) Jobst, John Kiff, Frederic J. Lambert, Nobu Sugimoto and Kai Yan
International Monetary Fund (IMF), International Monetary Fund (IMF) - International Capital Markets Department, Princeton University - Department of Economics, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department, International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund (IMF) and Yale University
Downloads 205 (186,892)

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insurance, advanced economies, systemic risk, financial stability, macroprudential policy

29.

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

Downloads 204 (187,702)
Citation 14

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

International Monetary Fund WP No. 09/147, 2009, 21st Australasian Finance and Banking Conference 2008 Paper, Time-Varying Correlation and Volatility Symposium 2008
Number of pages: 31 Posted: 25 Aug 2008 Last Revised: 25 Sep 2009
Sylwia Barbara Nowak, Jochen R. Andritzky, Jochen R. Andritzky, Andreas (Andy) Jobst and Natalia T. Tamirisa
International Monetary Fund (IMF), International Monetary Fund (IMF)German Council of Economic Experts, International Monetary Fund (IMF) - European Department and International Monetary Fund (IMF)
Downloads 120 (292,224)
Citation 1

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emerging markets, bond pricing, macroeconomic news, announcements, survey data, news spillovers, high-frequency data

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

IMF Working Paper No. 09/147
Number of pages: 31 Posted: 04 Aug 2009
Sylwia Barbara Nowak, Jochen R. Andritzky, Andreas (Andy) Jobst and Natalia T. Tamirisa
International Monetary Fund (IMF), Universität St. Gallen, International Monetary Fund (IMF) - European Department and International Monetary Fund (IMF)
Downloads 84 (371,261)
Citation 5

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Asset prices, Bond markets, Bonds, Economic models, Emerging markets, Private investment, Public information, Sovereign debt

30.

Public Debt Markets in Central America, Panama, and the Dominican Republic

IMF Working Paper No. 07/147
Number of pages: 152 Posted: 23 Aug 2007
Hemant C. Shah, Andreas (Andy) Jobst, Laura Valderrama and Ivan Guerra
International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department, International Monetary Fund - Monetary and Capital Markets Department and International Monetary Fund (IMF)
Downloads 174 (216,213)

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Public debt, Central America, Costa Rica, El Salvador, Honduras, Guatemala, Dominican Republic, Nicaragua, Panama, Capital markets, Debt management, Financial integration, Working Paper

31.

Negative Interest Rate Policy (NIRP): Implications for Monetary Transmission and Bank Profitability in the Euro Area

IMF Working Paper No. 16/172
Number of pages: 49 Posted: 09 Dec 2016
Andreas (Andy) Jobst and Huidan Lin
International Monetary Fund (IMF) - European Department and International Monetary Fund
Downloads 172 (218,439)
Citation 2

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Negative interest rates, Euro Area, Interest rate policy, Banks, Profits, Unconventional monetary policy instruments, Monetary transmission mechanism, European Central Bank, negative rates, NIRP, unconventional monetary policy, monetary transmission

32.

Multivariate Dependence of Implied Volatilities from Equity Options as Measure of Systemic Risk

International Review of Financial Analysis, Vol. 28, 2013
Number of pages: 57 Posted: 28 Dec 2012 Last Revised: 15 Jun 2013
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 154 (239,752)
Citation 4

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early warning, dependence, correlation, co-movement, systemic risk, extreme value theory, generalized extreme value, entropy, financial contagion, macroprudential surveillance

33.

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis

IMF Working Paper No. 09/204
Number of pages: 50 Posted: 13 Oct 2009
Jochen R. Andritzky, Andreas (Andy) Jobst, Sylwia Barbara Nowak, Yacine Ait-Sahalia and Natalia T. Tamirisa
Universität St. Gallen, International Monetary Fund (IMF) - European Department, affiliation not provided to SSRN, Princeton University - Department of Economics and International Monetary Fund (IMF)
Downloads 144 (253,191)

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Banks, Capital markets, Central banks, Data analysis, Databases, Financial crisis, Financial sector, Monetary policy, Spillovers, Statistics

34.

Greater Transparency and Better Policy for Climate Finance

Jobst, Andreas A. and C. Pazarbasioglu, 2019, “Greater Transparency and Better Policy for Climate Finance,” Financial Stability Review No. 23 (Greening the Financial System─The New Frontier), June 13 (Paris: Banque de France), pp. 85-99.
Number of pages: 15 Posted: 25 Jun 2019
Andreas (Andy) Jobst and Ceyla Pazarbasioglu
International Monetary Fund (IMF) - European Department and affiliation not provided to SSRN
Downloads 109 (311,155)

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climate change, sustainability, infrastructure

35.

Developing ASEAN5 Bond Markets: What Still Needs to Be Done?

IMF Working Paper No. 11/135
Number of pages: 35 Posted: 14 Jun 2011
Simon Gray, Joshua Felman, Ana Carvajal and Andreas (Andy) Jobst
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF) - European Department
Downloads 103 (323,383)

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Asia, Bond markets, Central banks, Financial crisis, Global Financial Crisis 2008-2009, Indonesia, Liquidity management, Malaysia, Philippines, Singapore, Taxation, Thailand

36.

Economic Conditions, Monetary Policy and Capital Market Integration in the Euro Area: What is the Role of Covered Bonds?

Revised version published as “Monetary Policy and Capital Market Integration in the Euro Area: What Is the Role of Covered Bonds?,” Journal of Structured Finance, Winter 2015 issue, pp. 1-13
Number of pages: 18 Posted: 09 Aug 2015
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 92 (347,634)

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securitization, covered bonds, structured finance, quantitative easing, asset purchases, monetary policy, SME finance

37.

Macroprudential Solvency Stress Testing of the Insurance Sector

IMF Working Paper No. 14/133
Number of pages: 85 Posted: 27 Aug 2014
Andreas (Andy) Jobst, Nobu Sugimoto and Timo Broszeit
International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 88 (357,479)

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Stress testing, Insurance companies, Macroprudential Policy, Surveillance, insurance, macroprudential surveillance, financial stability analysis, stress testing., underwriting, life insurance, life insurers, insurance activities, reinsurance, policyholders, supervisory authorities, credit risk, non-life insurance, insurance supervisors, cost of capital, insurance products, capital requirements, insurance markets, insurance risk, catastrophes, insurable interest, risk profile, risk management, risk transfer, insurance policies, risk aversion, insurance regulation, mortgage insurance, risk assessment, insurance supervision, risk market, moral hazard, insurance claims, investment products, insu

38.

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

IMF Working Paper No. 17/102
Number of pages: 57 Posted: 12 May 2017
Andreas (Andy) Jobst, Li Lian Ong and Christian Schmieder
International Monetary Fund (IMF) - European Department, GIC and Bank for International Settlements (BIS) - Financial Stability Board (FSB)
Downloads 86 (362,525)

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Liquidity risk, Basel III, cash flow-based approach, liquidity coverage ratio (LCR), net stable funding ratio (NSFR), solvency risk, stress testing, Tourism, Cuba, Caribbean, Trade, Gravity model

39.

Profitability and Balance Sheet Repair of Italian Banks

IMF Working Paper No. 16/175
Number of pages: 35 Posted: 09 Dec 2016
Andreas (Andy) Jobst and Anke Weber
International Monetary Fund (IMF) - European Department and International Monetary Fund (IMF)
Downloads 83 (370,428)

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Banks, Italy, Profits, Non-performing loans, Credit expansion, Bank capital, Balance sheets, banks, nonperforming loans, bank profitability.

40.

Are We There Yet? Implications of Negative Interest Rate for Monetary Transmission and Bank Profitability

Zeitschrift für das gesamte Kreditwesen, Vol. 69, No. 22, pp. 19-21, November 15, 2016
Number of pages: 10 Posted: 13 Jun 2017
Andreas (Andy) Jobst and Huidan Lin
International Monetary Fund (IMF) - European Department and International Monetary Fund
Downloads 80 (378,634)

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Negative Rates, NIRP, Unconventional Monetary Policy, Monetary Transmission

41.

A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs

IMF Working Paper No. 13/68
Number of pages: 56 Posted: 30 Mar 2013
Andreas (Andy) Jobst, Li Ong and Christian Schmieder
International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 75 (392,889)

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Stress testing, Banking sector, Financial systems, Group of Twenty, Economic models, Risk management, Financial Sector Assessment Program, Basel III, Financial Sector Assessment Plan (FSAP), G-20, macroprudential, S-25, satellite models, solvency, stress testing, surveillance

42.

Asset-Based Funding and Integrated Capital Markets in Europe

Published as “Asset-Based Funding & Integrated Capital Markets in Europe,” Mortgage Info, April (Brussels: European Covered Bond Council), pp. 1-5.
Number of pages: 12 Posted: 09 Aug 2015
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 74 (395,831)

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securitization, covered bonds, structured finance, quantitative easing, asset purchases, monetary policy

43.

Market Response to Policy Initiatives During the Global Financial Crisis

NBER Working Paper No. w15809
Number of pages: 51 Posted: 15 Mar 2010 Last Revised: 14 Mar 2021
Yacine Ait-Sahalia, Jochen R. Andritzky, Jochen R. Andritzky, Andreas (Andy) Jobst, Sylwia Barbara Nowak and Natalia T. Tamirisa
Princeton University - Department of Economics, International Monetary Fund (IMF)German Council of Economic Experts, International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 71 (404,996)
Citation 6

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44.

Credit Risk Dynamics of Infrastructure Investment: Considerations for Financial Regulators (Report Version)

Number of pages: 140 Posted: 13 Apr 2018
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 70 (408,093)

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Financial Crisis Management & Restructuring, Financial Structures, Energy and Mining, Energy and Environment, Energy Demand, Transport Services, Educational Sciences

45.

Market-Implied Systemic Risk and Shadow Capital Adequacy

Bank of England Working Paper No. 823, September 2019
Number of pages: 53 Posted: 17 Sep 2019
Somnath Chatterjee and Andreas (Andy) Jobst
Government of India - Reserve Bank of India and International Monetary Fund (IMF) - European Department
Downloads 51 (475,782)
Citation 2

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systemic risk, contingent claims analysis, jump diffusion, CoVaR, systemic expected shortfall, conditional tail expectation, capital adequacy

46.

Measuring Systemic Risk-Adjusted Liquidity (SRL) — A Model Approach

Number of pages: 52 Posted: 01 Apr 2013 Last Revised: 16 May 2014
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 51 (475,782)

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systemic risk, liquidity risk, Net Stable Funding Ratio (NSFR), extreme value theory, financial contagion, macroprudential regulation

47.

How Transparency Can Contribute to Development

Number of pages: 12 Posted: 08 Jan 2019
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 47 (492,438)
Citation 1

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sustainability, transparency, non-financial reporting, integrated reporting, financial accounting, IFRS, GAAP

48.

Credit Risk Dynamics of Infrastructure Investment: Considerations for Financial Regulators

World Bank Policy Research Working Paper No. 8373
Number of pages: 151 Posted: 28 Mar 2018 Last Revised: 24 Apr 2018
Andreas (Andy) Jobst
International Monetary Fund (IMF) - European Department
Downloads 41 (519,488)

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Financial Crisis Management & Restructuring, Financial Structures, Energy and Mining, Energy and Environment, Energy Demand, Transport Services, Educational Sciences

49.

Sovereign Risk in Macroprudential Solvency Stress Testing

IMF Working Paper No. 19/266
Number of pages: 60 Posted: 22 Jan 2020
Andreas (Andy) Jobst and Hiroko Oura
International Monetary Fund (IMF) - European Department and International Monetary Fund (IMF)
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Financial crises, External sector, Financial markets, Financial institutions, Financial instruments, FSAP, macroprudential, sovereign risk, stress testing, valuation haircut, WP, discounted cash flow, AfS, default risk, country-specific, CDS

50.

Developing ASEAN‐5 Bond Markets: What Needs to Be Done?

Asian‐Pacific Economic Literature, Vol. 28, Issue 1, pp. 76-95, 2014
Number of pages: 20 Posted: 29 Apr 2014
Simon Gray, Joshua Felman, Ana Carvajal and Andreas (Andy) Jobst
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF) - European Department
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51.

ASEAN‐5 Bond Market Development: Where Does it Stand? Where is it Going?

Asian‐Pacific Economic Literature, Vol. 28, Issue 1, pp. 60-75, 2014
Number of pages: 16 Posted: 29 Apr 2014
Joshua Felman, Simon Gray, Mangal Goswami, Andreas (Andy) Jobst, Mahmood Pradhan, Shanaka Peiris and Dulani Seneviratne
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF), International Monetary Fund (IMF) - African Department and International Monetary Fund (IMF)
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52.

New Directions in Financial Sector and Sovereign Risk Management

Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010 Last Revised: 19 Oct 2010
Dale F. Gray and Andreas (Andy) Jobst
International Monetary Fund (IMF) and International Monetary Fund (IMF) - European Department

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Contingent claims analysis (CCA), default risk, systemic risk, systemic CCA, debt guarantees, sovereign risk, multivariate extreme value distributions

Other Papers (1)

Total Downloads: 182
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1.

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis

International Monetary Fund, WP No. 09/204, 22nd Australasian Finance and Banking Conference 2009
Number of pages: 50 Posted: 25 Aug 2009 Last Revised: 07 Oct 2009
Yacine Ait-Sahalia, Jochen R. Andritzky, Jochen R. Andritzky, Andreas (Andy) Jobst, Sylwia Barbara Nowak and Natalia T. Tamirisa
Princeton University - Department of Economics, International Monetary Fund (IMF)German Council of Economic Experts, International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
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Crisis, policy, announcement, event, financial, liquidity, monetary, fiscal, bank