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Systemic Risk and Asymmetric Responses in the Financial Industry1

Systemic Risk and Asymmetric Responses in the Financial Industry1 »

Source: Systemic Risk and Asymmetric Responses in the Financial Industry

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

Near-Coincident Indicators of Systemic Stress

Near-Coincident Indicators of Systemic Stress »

Source: Near-Coincident Indicators of Systemic Stress

Volume/Issue: 2013/115

Series: IMF Working Papers

Author(s): Ivailo Arsov , Elie Canetti , Laura Kodres , and Srobona Mitra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 2013

ISBN: 9781484343784

Keywords: Coincident Indicator, Early Warning, Financial Stress, Tail Risk, financial institutions, financial system, Financial Forecasting and Simulation,

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it...

Capital Regulation and Tail Risk

Capital Regulation and Tail Risk »

Source: Capital Regulation and Tail Risk

Volume/Issue: 2011/188

Series: IMF Working Papers

Author(s): Enrico Camillo Perotti , Lev Ratnovski , and Razvan Vlahu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

ISBN: 9781462308262

Keywords: Tail Risk, Financial Innovation, banker, recapitalization, banking, capital ratio, Criteria for Decision-Making under Risk and Uncertainty, Financial Institutions and Services: Government Policy and Regulation,

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk asserts. We show that this undermines the traditional result that high capital reduces excess risk...

Operational Risk

Operational Risk »

Source: Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868036

Keywords: 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

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...

Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis »

Source: Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...

Systemic Risk and Asymmetric Responses in the Financial Industry

Systemic Risk and Asymmetric Responses in the Financial Industry »

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

DOI: http://dx.doi.org/10.5089/9781475504347.001

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

Near-Coincident Indicators of Systemic Stress

Near-Coincident Indicators of Systemic Stress »

Volume/Issue: 2013/115

Series: IMF Working Papers

Author(s): Ivailo Arsov , Elie Canetti , Laura Kodres , and Srobona Mitra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 2013

DOI: http://dx.doi.org/10.5089/9781484343784.001

ISBN: 9781484343784

Keywords: Coincident Indicator, Early Warning, Financial Stress, Tail Risk, financial institutions, financial system, Financial Forecasting and Simulation,

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it...

Capital Regulation and Tail Risk

Capital Regulation and Tail Risk »

Volume/Issue: 2011/188

Series: IMF Working Papers

Author(s): Enrico Camillo Perotti , Lev Ratnovski , and Razvan Vlahu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

DOI: http://dx.doi.org/10.5089/9781462308262.001

ISBN: 9781462308262

Keywords: Tail Risk, Financial Innovation, banker, recapitalization, banking, capital ratio, Criteria for Decision-Making under Risk and Uncertainty, Financial Institutions and Services: Government Policy and Regulation,

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk asserts. We show that this undermines the traditional result that high capital reduces excess risk...

Operational Risk
			: The Sting is Still in the Tail But the Poison Dependson the Dose

Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose »

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

DOI: http://dx.doi.org/10.5089/9781451868036.001

ISBN: 9781451868036

Keywords: 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

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...

Systemic Contingent Claims Analysis
			: Estimating Market-Implied Systemic Risk

Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk »

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

DOI: http://dx.doi.org/10.5089/9781475572780.001

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...