Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:government credit risk 

Journal Article
Pricing government credit: a new method for determining government credit risk exposure

A growing debate centers on how best to recognize (and price) government interventions in the capital markets. This study applies a method for estimating and valuing the government?s exposure to credit risk through its loan and guarantee programs. The authors use the mortgage portfolios of Fannie Mae and Freddie Mac as examples of how policymakers could employ this method in pricing the government?s program credit risk. Building on the cost of capital approach, the method captures each program?s possible tail loss over and above its expected value. The authors then use a capital allocation ...
Economic Policy Review , Issue 24-3 , Pages 41-62

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

H6 1 items

H81 1 items

R28 1 items

PREVIOUS / NEXT