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| Other authors / contributors: | International Monetary Fund. Research Department.
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| ISBN: | 1282391763
9781282391765
1462382967
9781462382965
1452715734
9781452715735
9786613820198
6613820199
1451918976
9781451918977
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| Notes: | Includes bibliographical references (pages 35-36).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation The simultaneous unwinding of leveraged positions can trigger financial market turbulence. Although balance-sheet measures of leverage are available, it is useful to construct a measure of leverage that incorporates both on- and off-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash market equivalent components. a leverage ratio can then be calculated for this replicating portfolio, which consists of own funds (equity) and borrowed funds equivalents (debt). Methods for aggregating leverage by institution and by markets are presented. the interaction between leverage and risk is discussed, and a modified capital adequacy ratio is calculated, which captures off-balance-sheet exposure.
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| Other form: | Print version: Breuer, Peter (Peter D.). Measuring off-balance-sheet leverage. [Washington, D.C.] : International Monetary Fund, Research Dept., ©2000
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