Search Results

You are looking at 1 - 10 of 20 items :

  • Keyword: systemic risk x
  • United Kingdom x
Clear All Modify Search
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...

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...

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...

Optimal Bank Recovery

Optimal Bank Recovery »

Source: Optimal Bank Recovery

Volume/Issue: 2015/217

Series: IMF Working Papers

Author(s): C. Goodhart , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 September 2015

ISBN: 9781513584263

Keywords: Bank Recovery, Metrics for Triggers, Loss Absorption, Probability of Distress, Loan Default, banks, bank, risk, value, systemic risk

Banks' living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger recovery. We outline...

Lessons and Policy Implications from the Global Financial Crisis

Lessons and Policy Implications from the Global Financial Crisis »

Source: Lessons and Policy Implications from the Global Financial Crisis

Volume/Issue: 2010/44

Series: IMF Working Papers

Author(s): Stijn Claessens , Luc Laeven , Deniz Igan , and Giovanni Dell'Ariccia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451963021

Keywords: International financial architecture, regulation and supervision, subprime lending, contagion, households leverage, financial institutions, credit booms, systemic risk, deposit insurance, Economics Education and Teaching of Economics: Undergraduate

The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation a...

Systemic Real and Financial Risks

Systemic Real and Financial Risks »

Source: Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

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...

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...

Making OTC Derivatives Safe-A Fresh Look

Making OTC Derivatives Safe-A Fresh Look »

Source: Making OTC Derivatives Safe-A Fresh Look

Volume/Issue: 2011/66

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455228041

Keywords: Collateral, Netting, Interoperability, OTC Derivatives, Central Bank LOLR, CCPs, derivative, systemic risk, credit, derivatives market

Recent regulatory efforts, especially in the U.S. and Europe, are aimed at reducing moral hazard so that the next financial crisis is not bailed out by tax payers. This paper looks at the possibility that central c...

Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis »

Source: Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk

Volume/Issue: 2013/54

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475572780

Keywords: macroprudential policy and surveillance, contingent claims analysis (CCA), systemic CCA, conditional tail expectation (CTE), extreme value theory (EVT), risk-adjusted balance sheets, stress testing, capital adequacy, Model Construction and Estimation, Government Policy and Regulation

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are...