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Fat Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund - 2011
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 capital structure model, it is shown that the correlation bias shifts...
Persistent link: https://www.econbiz.de/10014401318
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Iceland; Financial System Stability Assessment: Update
International Monetary Fund (IMF); International … - 2008
This paper presents an update on Iceland’s Financial System Stability Assessment. Liquidity ratios, while high, now depend more than before on access to central banks’ liquidity facilities because of the turmoil in global markets, and any reduction in such access would require...
Persistent link: https://www.econbiz.de/10011242584
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Former Yugoslav Republic of Macedonia; Financial System Stability Assessment, including Reports on the Observance of Standards and Codes on the following topics: Banking Supervisio...
International Monetary Fund (IMF); International … - 2003
indicate that the banking system is relatively resilient to the direct effects of individual shocks, with credit risk having …
Persistent link: https://www.econbiz.de/10005598795
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Russian Federation; Financial Sector Stability Assessment Update
International Monetary Fund (IMF); International … - 2010
This paper presents the Financial Sector Stability Assessment Update on the Russian Federation. Indicators of bank … soundness and performance are broadly favorable but credit risk poses a challenge over the medium term, and capitalization … should rise to support continued banking sector development. The system has weathered the global credit crunch that began in …
Persistent link: https://www.econbiz.de/10011244068
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Finland; Financial System Stability Assessment Update
International Monetary Fund (IMF); International … - 2010
liquidity and credit risks required monitoring. The study assessed that there is a need for strong crisis management framework …
Persistent link: https://www.econbiz.de/10011243578
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Republic of Tajikistan; Financial System Stability Assessment, including Reports on Observance of Standards and Codes on the following topics, Banking Supervision, and Monetary and...
International Monetary Fund (IMF); International … - 2008
The Republic of Tajikistan’s Financial System Stability Assessment and reports on the Observance of Standards and Codes are examined. The Tajik financial system is small despite recent rapid growth. Overall, banks remain well capitalized and liquid, but the brisk expansion of their loan...
Persistent link: https://www.econbiz.de/10011242580
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Russian Federation; Technical Note on Crisis Management and Crisis Preparedness Frameworks
International Monetary Fund (IMF); International … - 2011
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 arrangements for systemic risk monitoring and crisis management. It also covers crisis...
Persistent link: https://www.econbiz.de/10011244415
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Macroprudential Policy; What Instruments and How to Use them? Lessons From Country Experiences
International Monetary Fund (IMF); International … - 2011
This paper provides the most comprehensive empirical study of the effectiveness of macroprudential instruments to date. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk over time and across institutions and markets. The...
Persistent link: https://www.econbiz.de/10009369434
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Macroprudential Policy : What Instruments and How to Use them? Lessons From Country Experiences
International Monetary Fund - 2011
This paper provides the most comprehensive empirical study of the effectiveness of macroprudential instruments to date. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk over time and across institutions and markets. The...
Persistent link: https://www.econbiz.de/10014397863
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Global Liquidity : Credit and Funding Indicators
International Monetary Fund - 2013
This note reviews some concepts of global liquidity and discusses measurement approaches that have been used by various interlocutors, including at the BIS, by Fund staff, and in academia. Some measures that could be regularly monitored by policy makers are presented
Persistent link: https://www.econbiz.de/10014410545