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Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center »

Source: Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Volume/Issue: 2007/74

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Srobona Mitra , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

ISBN: 9781451866384

Keywords: co-exceedance, contagion risk, distance-to-default, extreme value theory, LOGIT, foreign banks, financial institutions, stock market, financial system, financial markets

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. ba...

Estimating Markov Transition Matrices Using Proportions Data

Estimating Markov Transition Matrices Using Proportions Data »

Source: Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk

Volume/Issue: 2005/219

Series: IMF Working Papers

Author(s): Matthew Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862386

Keywords: Markov transition matrix, nonperforming loans, interest coverage, probabilities, probability, probability model, interest coverage ratio, banking, Estimation,

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications...

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...

Financial Structures and Economic Outcomes

Financial Structures and Economic Outcomes »

Source: Financial Structures and Economic Outcomes : An Empirical Analysis

Volume/Issue: 2013/121

Series: IMF Working Papers

Author(s): Tom Gole , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

ISBN: 9781484335420

Keywords: financial structures, economic outcomes, fixed-effects panel estimation, financial structure, financial system, financial systems, financial stability

This paper investigates the potential relationships between financial structures and economic outcomes. The empirical results that withstand a battery of methods suggest that some financial intermediation structure...

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center »

Volume/Issue: 2007/74

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Srobona Mitra , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

DOI: http://dx.doi.org/10.5089/9781451866384.001

ISBN: 9781451866384

Keywords: co-exceedance, contagion risk, distance-to-default, extreme value theory, LOGIT, foreign banks, financial institutions, stock market, financial system, financial markets

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. ba...

Estimating Markov Transition Matrices Using Proportions Data
			: An Application to Credit Risk

Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk »

Volume/Issue: 2005/219

Series: IMF Working Papers

Author(s): Matthew Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

DOI: http://dx.doi.org/10.5089/9781451862386.001

ISBN: 9781451862386

Keywords: Markov transition matrix, nonperforming loans, interest coverage, probabilities, probability, probability model, interest coverage ratio, banking, Estimation,

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications...

External Linkages and Contagion Risk in Irish Banks

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

DOI: http://dx.doi.org/10.5089/9781451866087.001

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...

Financial Structures and Economic Outcomes
			: An Empirical Analysis

Financial Structures and Economic Outcomes : An Empirical Analysis »

Volume/Issue: 2013/121

Series: IMF Working Papers

Author(s): Tom Gole , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

DOI: http://dx.doi.org/10.5089/9781484335420.001

ISBN: 9781484335420

Keywords: financial structures, economic outcomes, fixed-effects panel estimation, financial structure, financial system, financial systems, financial stability

This paper investigates the potential relationships between financial structures and economic outcomes. The empirical results that withstand a battery of methods suggest that some financial intermediation structure...

Measuring Systemic Risk-Adjusted Liquidity (SRL)
			: A Model Approach

Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach »

Volume/Issue: 2012/209

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505597.001

ISBN: 9781475505597

Keywords: Net Stable Funding Ratio (NSFR), extreme value theory, macroprudential regulation, financial institutions, financial stability, present value, liquidity support, financial system, Model Construction and Estimation, Financial Institutions and Services: Government Policy and Regulation

Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within fin...

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

DOI: http://dx.doi.org/10.5089/9781484322185.001

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...