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Global Financial Stability Report, April 2017
			: Getting the Policy Mix Right

Global Financial Stability Report, April 2017 : Getting the Policy Mix Right »

Series: Global Financial Stability Report

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 April 2017

DOI: http://dx.doi.org/10.5089/9781475564563.082

ISBN: 9781475564563

Keywords: Emerging markets, Financial intermediation, Financial stability, Financial soundness indicators, Interest rates. Economic models, Economic integration, Market economies, Interest rates, Credit, Macroprudential policies and financial stability

Financial stability has continued to improve since the October 2016 Global Financial Stability Report (GFSR). Economic activity has gained momentum, as outlined in the April 2017 World Economic Outlook (WEO), amid...

Stress Testing at the IMF

Stress Testing at the IMF »

Source: Stress Testing at the IMF

Volume/Issue: 2008/206

Series: IMF Working Papers

Author(s): Mark Swinburne , Stéphanie Marie Stolz , and Marina Moretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870640

Keywords: risk modeling, financial sector, financial institutions

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's e...

Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

Measuring Integrated Market and Credit Risks in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa »

Source: Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa

Volume/Issue: 2000/212

Series: IMF Working Papers

Author(s): Panagiotis Papapanagiotou , Theodore Barnhill , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451874884

Keywords: Economic models, Capital markets, Credit risk, Banking, South Africa, VaR, market risk, bank risk, credit ratings

The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simula...

Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide

Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide »

Source: Systemic Risk Monitoring ("SysMo") Toolkit-A User Guide

Volume/Issue: 2013/168

Series: IMF Working Papers

Author(s): Nicolas Blancher , Srobona Mitra , Hanan Morsy , Akira Otani , Tiago Severo , and Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 July 2013

ISBN: 9781484383438

Keywords: Sytemic Risk, Risk Indicators, Risk Monitoring, banking, banking sector, banking system, sovereign risk, banking crisis, Other, Model Construction and Estimation,

There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF fo...

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...

Measures of Underlying Inflation in the Euro Area

Measures of Underlying Inflation in the Euro Area »

Source: Measures of Underlying Inflation in the Euro Area : Assessment and Role for Informing Monetary Policy

Volume/Issue: 2006/197

Series: IMF Working Papers

Author(s): Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864571

Keywords: Underlying inflation, forecast evaluation, composite indicators, forecast risk assessment, monetary aggregates, inflation dynamics, central bank, Model Construction and Estimation, Model Evaluation and Selection, Forecasting and Other Model Applications,

The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation and structural models. The inflation forecast errors resulting from model misspecification are...

Systemic Risk

Systemic Risk »

Source: Systemic Risk : A New Trade-off for Monetary Policy?

Volume/Issue: 2015/142

Series: IMF Working Papers

Author(s): Stefan Laseen , Andrea Pescatori , and Jarkko Turunen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

ISBN: 9781513579245

Keywords: Endogenous Financial Risk, DSGE models, Non-Linear Dynamics, Policy Evaluation, financial sector, welfare, prices, equity,

We introduce time-varying systemic risk in an otherwise standard New-Keynesian model to study whether a simple leaning-against-the-wind policy can reduce systemic risk and improve welfare. We find that an unexpecte...

Financial Linkages Across Korean Banks

Financial Linkages Across Korean Banks »

Source: Financial Linkages Across Korean Banks

Volume/Issue: 2011/201

Series: IMF Working Papers

Author(s): Burcu Aydin , Myeongsuk Kim , and Ho-Seong Moon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

ISBN: 9781462303229

Keywords: network approach, covariance analysis, portfolio risk, banking, probability, banking system, equation, probabilities, Model Evaluation and Selection, Econometric Methods: - Single Equation Models,

This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess b...

Systemic Real and Financial Risks

Systemic Real and Financial Risks »

Source: Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

Assessing Corporate Vulnerabilities in Indonesia

Assessing Corporate Vulnerabilities in Indonesia »

Source: Assessing Corporate Vulnerabilities in Indonesia : A Bottom-Up Default Analysis

Volume/Issue: 2017/97

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Weimin Miao , Ken Miyajima , and Jongsoon Shin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 April 2017

ISBN: 9781475595130

Keywords: Indonesia, Corporate sector, Asia and Pacific, bottom-up default analysis, default risk, scenario analysis, simulation, hazard rate models, Model Evaluation and Testing, General

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bot...