The International Monetary Fund's Balance-Sheet and Credit Risk

Ryan Felushko and Eric Santor

Staff Working Papers from Bank of Canada

Abstract: The authors examine the characteristics of International Monetary Fund (IMF) lending from the 1960s to 2005. They find that there has been an increase in portfolio concentration, that lending terms have effectively lengthened, and that the proportion of total lending that occurs due to exceptional access has risen dramatically. Moreover, the typical IMF borrower represents a greater risk burden than in previous periods. The authors estimate a model of expected credit loss for the IMF's portfolio and find that the credit risk being borne on the IMF's balance sheet is rising over time. This increase in the risk burden is supported by the use of alternative measures of balance-sheet risk: both the Basel II capital requirement approach and the market-based interest rate approach produce similar results.

Keywords: International; topics (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2006
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:06-21

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