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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...

Systemic Risk from Global Financial Derivatives

Systemic Risk from Global Financial Derivatives »

Source: Systemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

Volume/Issue: 2012/282

Series: IMF Working Papers

Author(s): Sheri Markose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 November 2012

ISBN: 9781475577501

Keywords: Systemic Risk, Financial Network, Too-Interconnected-to-Fail, Eigenvector Centrality, Super Spreader Tax, contagion, financial contagion, collateral

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Importa...

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...

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...

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

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

DOI: http://dx.doi.org/10.5089/9781463904241.001

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...

Systemic Risk from Global Financial Derivatives
			: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

Systemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax »

Volume/Issue: 2012/282

Series: IMF Working Papers

Author(s): Sheri Markose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 November 2012

DOI: http://dx.doi.org/10.5089/9781475577501.001

ISBN: 9781475577501

Keywords: Systemic Risk, Financial Network, Too-Interconnected-to-Fail, Eigenvector Centrality, Super Spreader Tax, contagion, financial contagion, collateral

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Importa...

Lessons and Policy Implications from the Global Financial Crisis

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

DOI: http://dx.doi.org/10.5089/9781451963021.001

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
			: Measurement, Forecasting, and Stress Testing

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

DOI: http://dx.doi.org/10.5089/9781463937768.001

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...

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

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

DOI: http://dx.doi.org/10.5089/9781455226061.001

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...