| Description |
1 online resource (27 pages) |
| Series |
IMF working paper ; WP/11/222 |
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IMF working paper ; WP/11/222.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Measuring Systemic Risk Globally; III. Measuring Systemic Risks: Examples and challenges; A. Measurement of Banks' Foreign Credit Exposures; 1. The BIS International Banking Statistics; 1. Foreign Credit Exposure Measure; 2. Reliance on Foreign Bank Credit; 3. On-balance Sheet USD Positions at Long-USD European Banks; B. Measurement of Borrower's Reliance on Foreign Bank Credit; C. Measurement of Cross-currency Funding and Maturity Transformation; D. Modeling Systemic Risks for International Banks |
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4. Shock Propagation Across Borders Through Bank Losses and Deleveraging5. Effect of Foreign Credit Losses on the Balance Sheet of Country j Banks; 6. Effect of a Funding Shock on Balance Sheet of Borrower Country j Banks; IV. What More Data Are Needed?; 2. G-20 Data Gaps Initiative; Annex-Methodology underlying the Foreign Credit Exposure and Rollover Risk Analysis; A. Improving the Measurement of Foreign Credit Exposures; B. Improving the Measurement of Foreign Rollover Risks; C. Modeling Together International Banks' Assets and Liabilities; References; Footnotes |
| Summary |
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. But systemic risk analysis is severely hampered by the lack of consistent data that capture the international dimensions of finance. While currently available data can be used more effectively, supervisors and other agencies need more and better data to construct even rudimentary measures of risks in the international financial system. Similarly, market participants need better information on aggregate positions and linkages to appropriately monitor and price risks. Ongoing initiatives that will help in closing data gaps include the G20 Data Gaps Initiative, which recommends the collection of consistent bank-level data for joint analyses and enhancements to existing sets of aggregate statistics, and the enhancement to the BIS international banking statistics |
| Notes |
At head of title: Research Department |
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Title from PDF title page (IMF Web site, viewed September 28, 2011) |
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"September 2011." |
| Bibliography |
Includes bibliographical references |
| Subject |
Banks and banking, International -- Risk management -- Econometric models
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| Form |
Electronic book
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| Author |
Claessens, Stijn, author.
|
|
McGuire, Patrick M., 1970- author.
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International Monetary Fund. Research Department, issuing body.
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| ISBN |
1283556944 |
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9781283556941 |
|
9781463912673 |
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1463912676 |
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