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Near-Coincident Indicators of Systemic Stress
Arsov, Ivailo; Canetti, Elie; Kodres, Laura E.; Mitra, … - International Monetary Fund (IMF) - 2013
The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in … this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to … performance of eleven near-term systemic risk indicators as ‘early’ warning of distress among top financial institutions in the …
Persistent link: https://www.econbiz.de/10010790432
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A Framework for Financial Market Development
Chami, Ralph; Sharma, Sunil; Fullenkamp, Connel - International Monetary Fund (IMF) - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10008528687
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Macroprudential Policy; What Instruments and How to Use them? Lessons From Country Experiences
International Monetary Fund (IMF); International … - 2011
. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk …
Persistent link: https://www.econbiz.de/10009369434
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Lessons and Policy Implications From the Global Financial Crisis
Claessens, Stijn; Laeven, Luc; Igan, Deniz; … - International Monetary Fund (IMF) - 2010
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 and architecture, particularly in the treatment of systemically important financial...
Persistent link: https://www.econbiz.de/10008519478
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Externalities and Macroprudential Policy
Nicoló, Gianni De; Favara, Giovanni; Ratnovski, Lev - International Monetary Fund (IMF) - 2012
This note overviews macroprudential policy options that have been proposed to address the systemic risks experienced during the recent financial crisis. It contributes to the policy debate by providing a taxonomy of macroprudential policies in terms of the specific negative externalities in the...
Persistent link: https://www.econbiz.de/10011142226
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Risk Sharing and Financial Contagion in Asia; An Asset Price Perspective
Rungcharoenkitkul, Phurichai - International Monetary Fund (IMF) - 2011
This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We … construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic … discount factors. Risk sharing is low in Asia, and varies across time and countries, whereas contagion risks are more …
Persistent link: https://www.econbiz.de/10009369441
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The Tasks Ahead
International Monetary Fund (IMF); International … - 2008
:(i) the design of financial regulation; (ii) a better way of assessing systemic risk; and (iii) mechanisms for more effective …
Persistent link: https://www.econbiz.de/10005605385
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Centrality-based Capital Allocations
Alter, Adrian; Craig, Ben; Raupach, Peter - International Monetary Fund (IMF) - 2014
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10011106151
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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United Kingdom; Observance by LCH CLEARNET LIMITED of the CPSS-IOSCO Recommendations for Central Counterparties Detailed Assessment of Observance
International Monetary Fund (IMF); International … - 2011
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011242698