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Systemic Risk Modeling: How Theory Can Meet Statistics

Systemic Risk Modeling: How Theory Can Meet Statistics »

Source: Systemic Risk Modeling: How Theory Can Meet Statistics

Volume/Issue: 2020/54

Series: IMF Working Papers

Author(s): Raphael Espinoza , Miguel Segoviano , and Ji Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

ISBN: 9781513536170

Keywords: Financial crises, Bank credit, Financial markets, Financial institutions, Macroprudential policies and financial stability, Systemic risk, Minsky effect, CIMDO, Default, WP

We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for...

The Regulatory Responses to the Global Financial Crisis: Some Uncomfortable Questions

The Regulatory Responses to the Global Financial Crisis: Some Uncomfortable Questions »

Source: The Regulatory Responses to the Global Financial Crisis : Some Uncomfortable Questions

Volume/Issue: 2014/46

Series: IMF Working Papers

Author(s): Stijn Claessens , and Laura Kodres

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 March 2014

ISBN: 9781484335970

Keywords: regulation, systemic risks, macroprudential policies, financial stability, financial institutions, financial system, financial services, International Institutional Arrangements, General, Government Policy and Regulation

We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly...

Financial Surveillance Strategy - Progress Report

Financial Surveillance Strategy - Progress Report »

Source: Financial Surveillance Strategy - Progress Report

Volume/Issue: 2013/015

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2013

ISBN: 9781498341370

Keywords: Article IV consultations, Background papers, Financial risk, Financial systems, Surveillance, Central banking and monetary issues, Systemically important financial institutions, Macroprudential policies and financial stability, Financial institutions, article IV consultation

This note provides background to the informal Board briefing on the one-year progress in implementation of the FSS. The Board will have the opportunity to review progress in implementing the FSS in the context of t...

Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

CoMap: Mapping Contagion in the Euro Area Banking Sector

CoMap: Mapping Contagion in the Euro Area Banking Sector »

Source: CoMap: Mapping Contagion in the Euro Area Banking Sector

Volume/Issue: 2019/102

Series: IMF Working Papers

Author(s): Mehmet Ziya Gorpe , Giovanni Covi , and Christoffer Kok

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 May 2019

ISBN: 9781498312073

Keywords: Banking sector, Financial crises, Macroprudential policies and financial stability, Financial institutions, Central banks, Systemic Risk, Network Analysis, Interconnectedness, Large Exposures, Stress Test

This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interco...

The IMF Financial Surveillance Strategy

The IMF Financial Surveillance Strategy »

Source: The IMF Financial Surveillance Strategy

Volume/Issue: 2012/073

Series: Policy Papers

Author(s): International Monetary Fund. Monetary and Capital Markets Department;International Monetary Fund. Strategy, Policy, & Review Department;International Monetary Fund. Research Dept.;International Monetary Fund. External Relations Dept.;International Monetary Fund. Fiscal Affairs Dept.;International Monetary Fund. Legal Dept.;International Monetary Fund. Statistics Dept.;International Monetary Fund. Office of Budget and Planning

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 August 2012

ISBN: 9781498339940

Keywords: Financial sector surveillance, Financial stability, Fund role, Macroprudential Policy, Surveillance, Financial regulation and supervision, Real sector, Financial crises, Financial systems, Systemically important financial institutions

This paper outlines strategic priorities for the IMF's financial surveillance in the coming years. It complements recent discussions on the work agenda in this area. It takes stock of innovations and gaps in financ...

Macrofinancial Stress Testing - Principles and Practices-Background Material

Macrofinancial Stress Testing - Principles and Practices-Background Material »

Source: Macrofinancial Stress Testing - Principles and Practices-Background Material

Volume/Issue: 2012/075

Series: Policy Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 August 2012

ISBN: 9781498339933

Keywords: Background papers, Bank supervision, Central banks, Financial institutions, Liquidity, Nonbank financial sector, Risk management, Stress testing, Financial crises, Systemically important financial institutions

Staff conducted a survey of stress testing practices among selected national central banks and supervisory authorities. The online survey was undertaken in November 2011 as part of the preparatory work for the pape...

Modifications to the Current List of Financial Soundness Indicators - Background Paper

Modifications to the Current List of Financial Soundness Indicators - Background Paper »

Source: Modifications to the Current List of Financial Soundness Indicators - Background Paper

Volume/Issue: 2013/092

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 November 2013

ISBN: 9781498341080

Keywords: Background papers, Bank supervision, Corporate sector, Financial soundness indicators, Nonbank financial sector, Financial crises, Financial markets, Price indexes, External debt statistics, Systemic risk assessment

...

Progress Report to the International Monetary and Financial Committee on the Activities of the Independent Evaluation Office of the IMF

Progress Report to the International Monetary and Financial Committee on the Activities of the Independent Evaluation Office of the IMF »

Source: Progress Report to the International Monetary and Financial Committee on the Activities of the Independent Evaluation Office of the IMF

Volume/Issue: 2016/024

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2016

ISBN: 9781498345781

Keywords: Crisis prevention, Data quality assessment framework, Financial crisis, Financial statistics, Fund, Reports to International Monetary and Financial Committee, Financial crises, Crisis management, Crisis resolution, Systemic risk

This progress report presents the key conclusions and recommendations of the IEO evaluation of data and statistics at the IMF that was discussed by the Executive Board on March 17, 2016. It also summarizes the IMF'...

Macroprudential and Microprudential Policies

Macroprudential and Microprudential Policies »

Source: Macroprudential and Microprudential Policies : Toward Cohabitation

Volume/Issue: 2013/5

Series: Staff Discussion Notes

Author(s): Jacek Osinski , Katharine Seal , and Lex Hoogduin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 June 2013

ISBN: 9781484369999

Keywords: Financial systems, Financial stability, Financial institutions, Bank supervision, Macroprudential Policy, Banks, Business cycles, microprudential policy, supervision, financial cycle

Effective arrangements for micro and macroprudential policies to further overall financial stability are strongly desirable for all countries, emerging or advanced. Both policies complement each other, but there ca...