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Systemic Risk and Asymmetric Responses in the Financial Industry1

Systemic Risk and Asymmetric Responses in the Financial Industry1 »

Source: Systemic Risk and Asymmetric Responses in the Financial Industry

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

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...

An Overview of Macroprudential Policy Tools

An Overview of Macroprudential Policy Tools »

Source: An Overview of Macroprudential Policy Tools

Volume/Issue: 2014/214

Series: IMF Working Papers

Author(s): Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 December 2014

ISBN: 9781484358115

Keywords: externalities, market failures, procyclicality, systemic risks, banks, credit, risk, capital, Government Policy and Regulation, Government Policy and Regulation,

Macroprudential policies - caps on loan to value ratios, limits on credit growth and other balance sheets restrictions, (countercyclical) capital and reserve requirements and surcharges, and Pigouvian levies - have...

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...

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...

Cyber Risk Surveillance: A Case Study of Singapore

Cyber Risk Surveillance: A Case Study of Singapore »

Source: Cyber Risk Surveillance: A Case Study of Singapore

Volume/Issue: 2020/28

Series: IMF Working Papers

Author(s): Joseph Goh , Heedon Kang , Zhi Xing Koh , Jin Way Lim , Cheng Wei Ng , Galen Sher , and Chris Yao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 February 2020

ISBN: 9781513526317

Keywords: Systemically important financial institutions, Financial crises, Financial institutions, Financial systems, Financial services, Cyber risk, financial innovation, systemic risk, stress test., WP

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It is therefore important to integrate it into financial sector surveillance. This paper offers a r...

Modifications to the Current List of Financial Soundness Indicators

Modifications to the Current List of Financial Soundness Indicators »

Source: Modifications to the Current List of Financial Soundness Indicators

Volume/Issue: 2013/093

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 November 2013

ISBN: 9781498341097

Keywords: Bank supervision, Financial soundness indicators, Nonbank financial sector, Time dimension of systemic risk, Systemic risk assessment, Financial crises, Macroprudential policies and financial stability, Financial institutions, Statistics Department, OFCs

The purpose of this paper is to inform Executive Directors on the outcomes of consultations conducted by the IMF's Statistics Department (STA) on revising the current list of FSIs in response to the global financia...

Progress Report on the Activities of the Independent Evaluation Office

Progress Report on the Activities of the Independent Evaluation Office »

Source: Progress Report on the Activities of the Independent Evaluation Office

Volume/Issue: 2015/022

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 April 2015

ISBN: 9781498344661

Keywords: Capital account liberalization, Capital flows, Financial crises, Macroprudential policies and financial stability, Systemic risk, IEO, IMF, evaluation, liberalization, economic crisis

This progress report presents key conclusions and recommendations from an IEO evaluation of the IMF's response to the global financial and economic crisis and an update of the IEO evaluation of the IMF's approach t...