Search Results

You are looking at 1 - 10 of 38 items

  • Keyword: contagion risk x
Clear All Modify Search
Czech Republic

Czech Republic »

Source: Czech Republic : Technical Note on Macroprudential Policy Framework

Volume/Issue: 2012/175

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 July 2012

ISBN: 9781475506211

Keywords: systemic risk, monetary policy, contagion

This technical note examines the macroprudential policy framework in the Czech Republic. The Czech National Bank (CNB) has been actively developing its macroprudential policy framework for some time, including most...

External Linkages and Contagion Risk in Irish Banks

External Linkages and Contagion Risk in Irish Banks »

Source: External Linkages and Contagion Risk in Irish Banks

Volume/Issue: 2007/44

Series: IMF Working Papers

Author(s): Srobona Mitra , and Elena Duggar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

ISBN: 9781451866087

Keywords: Contagion risk, Distance to default, contagion, systemic risk, banking system, interbank market, Model Construction and Estimation,

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and...

Pure Contagion and Investors Shifting Risk Appetite

Pure Contagion and Investors Shifting Risk Appetite »

Source: Pure Contagion and Investors Shifting Risk Appetite : Analytical Issues and Empirical Evidence

Volume/Issue: 2001/134

Series: IMF Working Papers

Author(s): Manmohan Kumar , and Avinash Persaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

ISBN: 9781451855609

Keywords: Risk aversion, contagion affects, financial crises, contagion, correlation, probability, currency crises, Financial Institutions and Services: General,

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals - investors' shifting appetite for risk. It provides an analytical framework for identifying changes in investors' risk...

Switzerland

Switzerland »

Source: Switzerland : Technical Note-Systemic Risk and Contagion Analysis

Volume/Issue: 2014/268

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 September 2014

ISBN: 9781498353922

Keywords: contagion, financial institutions, systemic risk, financial stability, financial system

...

Bailouts and Systemic Insurance

Bailouts and Systemic Insurance »

Source: Bailouts and Systemic Insurance

Volume/Issue: 2013/233

Series: IMF Working Papers

Author(s): Giovanni Dell'Ariccia , and Lev Ratnovski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 November 2013

ISBN: 9781475514742

Keywords: Bailouts, contagion, banking, bank risk, bank risk taking, Government Policy and Regulation,

We revisit the link between bailouts and bank risk taking. The expectation of government support to failing banks creates moral hazard—increases bank risk taking. However, when a bank’s success depend...

Systemic Risk from Global Financial Derivatives

Systemic Risk from Global Financial Derivatives »

Source: Systemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

Volume/Issue: 2012/282

Series: IMF Working Papers

Author(s): Sheri Markose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 November 2012

ISBN: 9781475577501

Keywords: Systemic Risk, Financial Network, Too-Interconnected-to-Fail, Eigenvector Centrality, Super Spreader Tax, contagion, financial contagion, collateral

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Importa...

Risk Sharing and Financial Contagion in Asia

Risk Sharing and Financial Contagion in Asia »

Source: Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective

Volume/Issue: 2011/242

Series: IMF Working Papers

Author(s): Phurichai Rungcharoenkitkul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463922634

Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,

This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Source: The Asset Allocation of Emerging Market Mutual Funds

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

A Model of Contagious Currency Crises with Application to Argentina

A Model of Contagious Currency Crises with Application to Argentina »

Source: A Model of Contagious Currency Crises with Application to Argentina

Volume/Issue: 1999/29

Series: IMF Working Papers

Author(s): Nada Choueiri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1999

ISBN: 9781451844788

Keywords: contagion, multiple equilibria, risk aversion, exchange rate, covariance, equation, exchange rates, probability

This paper proposes a model of contagious currency crises: crises transmit across countries by raising the risk premium on government bonds. Three types of equilibria can occur: a “no-collapse” equili...

Designing Effective Macroprudential Stress Tests

Designing Effective Macroprudential Stress Tests »

Source: Designing Effective Macroprudential Stress Tests : Progress So Far and the Way Forward

Volume/Issue: 2015/146

Series: IMF Working Papers

Author(s): Dimitri Demekas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

ISBN: 9781513513621

Keywords: contagion, solvency, bank, risk, capital, balance sheet, General, Financial Forecasting and Simulation, Government Policy and Regulation,

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual i...