Series: IMF Working Papers
Author(s): Andreas A. Jobst , and Dale Gray
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 27 February 2013
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...