Effective risk management at central banks is best enabled by a sound framework embedded throughout the organization that supports the design and execution of risk management activities. To evaluate the risk management practices at a central bank, the Safeguards Assessments Division of the IMF's...

The most recent global credit mishap of 2008, the worst financial catastrophe of the 21st century, succeeded the Great Depression of the 1930s as the worst event of all times, and used in stress testing under severely adverse scenario analysis. Rather promoting financial stability, the Basel...

Ten years into the global financial crisis, the euro area is struggling to get back on a path of stability and growth. Leaving aside international factors, many underlying reasons come from within and range from the EMU architectural incompleteness to the reluctance to address some key issues,...

This paper studies the detection of outliers in risk indicators based on large value payment system transaction data. The ten risk indicators are daily time series measuring various risks in the large value payment system, such as operational risk, concentration risk and liquidity flows related...

This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, the expected positive exposure (EPE), effective expected exposure (EEE), and the effective expected...

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study having been conducted by an ad-hoc group composed of operators and overseers of TARGET2. The study aims to assess the resilience of the system, defined as the network of its...

The main aims of this paper are, firstly, to investigate the extent to which Yemen's banks, in particular its Islamic banks, are applying Risk Management Practices (RMPs) and related techniques to deal with various types of risk, and secondly, to compare and distinguish between the RMPs used in...

This paper analyses the evolution of the safety and soundness of the European banking sector during the various stages of the Basel process of capital regulation. In the first part we document the evolution of various measures of systemic risk as the Basel process unfolds. Most strikingly, we...