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Stress Testing
			: Principles, Concepts, and Frameworks

Stress Testing : Principles, Concepts, and Frameworks »

Series: Books

Author(s): Li Lian Ong , and Andreas A. Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 September 2020

DOI: http://dx.doi.org/10.5089/9781484310717.071

ISBN: 9781484310717

Keywords: Best practice principles, credit risk, financial crisis, FSAP, information gaps, insurance, liquidity risk, sovereign risk, spillovers, stress testing

The objective of this book is to present IMF staff's further analyses and applications of these tools. Stress test exercises must be undertaken within a coherent and comprehensive framework; they must take into acc...

Global Financial Stability Report, October 2018
			: A Decade after the Global Financial Crisis: Are We Safer?

Global Financial Stability Report, October 2018 : A Decade after the Global Financial Crisis: Are We Safer? »

Series: Global Financial Stability Report

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 October 2018

DOI: http://dx.doi.org/10.5089/9781484375594.082

ISBN: 9781484375594

Keywords: Financial stability, Global Financial Stability Report, Global Financial Stability Reports, Global Financial Stability Risks, International financial stability, Financial crises, Market economies, Balance sheets, Emerging markets, Central banks

In the 10 years since the global financial crisis, regulatory frameworks have been enhanced and the banking system has become stronger, but new vulnerabilities have emerged, and the resilience of the global financi...

Essays on the Global Financial Crisis

Essays on the Global Financial Crisis »

Series: Miscellaneous Publication (Other)

Author(s): Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2016

DOI: http://dx.doi.org/10.5089/9781475544121.073

ISBN: 9781475544121

Keywords: Global Financial Crisis 2008-2009, financial crisis, subprime, spillovers, emerging markets, Global Financial Crisis, contagion, sovereign wealth funds, stress testing, bank restructuring

The Global Financial Crisis has been a watershed event not only for many advanced economies but also emerging markets around the world. This book brings together research and policy work over the last nine years fr...

Austria

Austria »

Source: Austria : Financial Sector Assessment Program Technical Note: Stress Testing and Short-Term Vulnerabilities

Volume/Issue: 2008/204

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 July 2008

ISBN: 9781451802436

Keywords: banking, banking system, market risk, liquidity ratio

This technical note focuses on the Austrian banking system that exhibits considerable resilience against shocks determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to...

Prudential Liquidity Regulation in Developing Countries

Prudential Liquidity Regulation in Developing Countries »

Source: Prudential Liquidity Regulation in Developing Countries : A Case Study of Rwanda

Volume/Issue: 2012/20

Series: IMF Working Papers

Author(s): Sarah Sanya , A. E. Wayne Mitchell , and Angelique Kantengwa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463931827

Keywords: Liquidity risk, regulation, supervsion, banking, banking system, central bank, excess liquidity, Jel Classification Numbers: Keywords: Liquidity Risk,

This paper analyses the prudential liquidity management framework, in particular the quantitative indicators employed by the central bank of Rwanda in response to the domestic liquidity crisis in 2008/09. It emphas...

Of Runes and Sagas

Of Runes and Sagas »

Source: Of Runes and Sagas : Perspectives on Liquidity Stress Testing Using an Iceland Example

Volume/Issue: 2010/156

Series: IMF Working Papers

Author(s): Martin Cihak , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201396

Keywords: Funding gap, liquidity risk, liquidity shocks, solvency risk, stress tests, banking, financial institutions, bonds, hedging, banking sector

The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, wher...

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Source: Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...

Myanmar

Myanmar »

Source: Myanmar : Technical Assistance Report-Banking Supervision and Regulation

Volume/Issue: 192020/184

Series: IMF Staff Country Reports

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 June 2020

ISBN: 9781513546292

Keywords: Bank liquidity, Financial institutions, Macroprudential policies and financial stability, Related party lending, Banking systems, ISCR, CR, risk-based, offsite, CBM

At the request of the Central Bank of Myanmar (CBM), the IMF's Monetary and Capital Markets Department, visited Yangon for a series of missions in 2018 and early 2019 on banking supervision. The objectives of the w...

Barriers to Household Risk Management

Barriers to Household Risk Management »

Source: Barriers to Household Risk Management : Evidence from India

Volume/Issue: 2012/195

Series: IMF Working Papers

Author(s): Robert Townsend , Shawn Cole , Jeremy Tobacman , Xavier Gine , James Vickery , and Petia Topalova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505443

Keywords: Household Finance, Trust, Liquidity Constraints, insurance contracts, insurance policies, risk aversion, basis risk, Field Experiments, Household Production and Intrahousehold Allocation, Financial Institutions and Services: General,

Why do many households remain exposed to large exogenous sources of non-systematic income risk? We use a series of randomized field experiments in rural India to test the importance of price and non-price factors i...

Central Counterparties

Central Counterparties »

Source: Central Counterparties : Addressing their Too Important to Fail Nature

Volume/Issue: 2015/21

Series: IMF Working Papers

Author(s): Froukelien Wendt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 January 2015

ISBN: 9781475572933

Keywords: central counterparties, interdependencies, too important to fail, recovery and resolution, risk waterfall, markets, market, default, liquidity, Government Policy and Regulation

Central counterparties (CCPs) can offer significant benefits to a market. However, CCPs are also highly interconnected with financial institutions and markets and therefore too important to fail. The increased volu...