You are looking at 1 - 1 of 1 items for :

  • Type: Journal Issue x
  • Financial sector policy and analysis x
  • Financial Institutions and Services: General x
  • Financial Risk Management x
  • Banks and banking x
  • Financial reporting, financial statements x
  • United Kingdom x
  • Financial and monetary sector x
  • United States x
  • Economic theory and methods x
  • Multiple or Simultaneous Equation Models; Multiple Variables: General x
  • Books and Analytical Papers x
  • Economic Theory; Demography x
  • Econometrics & economic statistics x
  • Western Hemisphere x
  • Refine By Language: English x
Clear All Modify Search
International Monetary Fund
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.