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Monitoring Systemic Risk Basedon Dynamic Thresholds1

Monitoring Systemic Risk Basedon Dynamic Thresholds1 »

Source: Monitoring Systemic Risk Basedon Dynamic Thresholds

Volume/Issue: 2012/159

Series: IMF Working Papers

Author(s): Kasper Lund-Jensen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504576

Keywords: Systemic Risk, banking, systemic banking crisis, banking crises

Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a syst...

Russian Federation

Russian Federation »

Source: Russian Federation : Technical Note on Crisis Management and Crisis Preparedness Frameworks

Volume/Issue: 2011/335

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 November 2011

ISBN: 9781463925918

Keywords: banking, credit, deposit insurance, collateral, systemic risk

This technical note discusses the lessons learned from the financial crisis in Russia in 2008. The note summarizes key findings and recommendations, and analyzes the institutional framework and coordination arrange...

Republic of Poland

Republic of Poland »

Source: Republic of Poland : Technical Assistance Report-Macroprudential Framework

Volume/Issue: 2012/276

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 September 2012

ISBN: 9781475510713

Keywords: systemic risk, credit, reserve requirements, payment systems, banking supervision

This paper on the Republic of Poland was prepared by a staff team of the International Monetary Fund as background documentation for the periodic consultation with the member country. It is based on the information...

Systemic Financial Risk in Payment Systems

Systemic Financial Risk in Payment Systems »

Source: Systemic Financial Risk in Payment Systems

Volume/Issue: 1990/65

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1990

ISBN: 9781451962437

Keywords: payments, credit, payment system, payment systems, banking, Systemic Financial Risk,

Efficient and stable payments systems are of fundamental importance in maintaining an orderly international monetary system. Major disruptions of national and international payments systems would have highly advers...

Financial Stability Reports:What Are they Good for?

Financial Stability Reports:What Are they Good for? »

Source: Financial Stability Reports : What Are they Good for?

Volume/Issue: 2012/1

Series: IMF Working Papers

Author(s): Sònia Muñoz , Samir Jahjah , Martin Cihak , Sharika Sharifuddin , and Kalin Tintchev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463929923

Keywords: Central Banking, Macro-Prudential Tools, Systemic Risk, banking, financial system, banking system, stock market

The global financial crisis has renewed policymakers' interest in improving the policy framework for financial stability, and an open question is to what extent and in what form should financial stability reports b...

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...

Bank Risk Within and Across Equilibria1

Bank Risk Within and Across Equilibria1 »

Source: Bank Risk Within and Across Equilibria

Volume/Issue: 2014/116

Series: IMF Working Papers

Author(s): Itai Agur

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 July 2014

ISBN: 9781498306515

Keywords: Bank risk, Wholesale funding, Adverse selection, Multiple equilibria, banking, systemic risk, bank exposures, bank funding,

The global financial crisis highlighted that the financial system can be most vulnerable when it seems most stable. This paper models non-linear dynamics in banking. Small shocks can lead from an equilibrium with f...

Systemic Risks in Global Banking

Systemic Risks in Global Banking »

Source: Systemic Risks in Global Banking : What Available Data Can Tell Us and What More Data Are Needed?

Volume/Issue: 2011/222

Series: IMF Working Papers

Author(s): Eugenio Cerutti , Patrick McGuire , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463904241

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, systemic risk, banking statistics, recapitalization, International Lending and Debt Problems

The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world...

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...

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1 »

Source: Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants

Volume/Issue: 2013/9

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781475544602

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, claims, banking systems, banking statistics, International Lending and Debt Problems

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance...