Macrofinancial Risk Analysis
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Macrofinancial Risk Analysis
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Author : Dale Gray
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30
Macrofinancial Risk Analysis written by Dale Gray and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-30 with Business & Economics categories.
Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
Assessing Macrofinancial Risks From Crypto Assets
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Author : Ms. Burcu Hacibedel
language : en
Publisher: International Monetary Fund
Release Date : 2023-09-29
Assessing Macrofinancial Risks From Crypto Assets written by Ms. Burcu Hacibedel and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-29 with Business & Economics categories.
Failures in the crypto space—including the fall of Terra USD and the FTX debacle—have sparked calls for strengthening countries’ policy frameworks for crypto assets, including by enhanced regulation and supervision. How have these heightened concerns about crypto assets been picked up in systemic risk assessment, and what can be done going forward? In this paper, we introduce a conceptual macrofinancial framework to understand and track systemic risks stemming from crypto assets. Specifically, we propose a country-level Crypto-Risk Assessment Matrix (C-RAM) to summarize the main vulnerabilities, useful indicators, potential triggers and potential policy responses related to the crypto sector. We also discuss how experts and officials can weave in specific vulnerabilities stemming from crypto asset activity into their assessment of systemic risk, and how they can provide policy advice and take action to help contain systemic risks when needed.
New Framework For Measuring And Managing Macrofinancial Risk And Financial Stability
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Author : Dale Gray
language : en
Publisher:
Release Date : 2007
New Framework For Measuring And Managing Macrofinancial Risk And Financial Stability written by Dale Gray and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Financial risk categories.
This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise's assets and liabilities to external "shocks." At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees -- some explicit and others implicit. Traditional approaches have difficulty analyzing how risks can accumulate gradually and then suddenly erupt in a full-blown crisis. The CCA approach is well-suited to capturing such "non-linearities" and to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk.
Indonesia
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Author : International Monetary Fund. Asia and Pacific Dept
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-31
Indonesia written by International Monetary Fund. Asia and Pacific Dept and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-31 with Business & Economics categories.
This Selected Issues paper provides an overview of the exchange rate and trade dynamics in Indonesia. Using data on monthly export and import price and volume at the sectoral level, the paper estimates pass-through effects of exchange rate changes to trade price and volume. Results indicate adjustment frictions that depend on the source of the exchange rate fluctuation and the degree of integration in global value chains. Overall, combining price and volume effects, we find that 10 percent depreciation in the exchange rate is associated with a rise in the goods net-exports of up to 1.6 percent of GDP. Results indicate that there is considerable asymmetry and sectoral heterogeneity in the pass-throughs of exchange rate on import and export prices. Import prices adjust well to exchange rate fluctuations with the effects being stronger for appreciation episodes. The price sensitivity of export prices to exchange rate shocks is generally lower than of imports and concentrated over shorter horizons and during episodes of depreciation. The price and quantity results imply that exchange rate changes can have significant effects on the current account, by affecting movements in net-exports of goods.
Zambia
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Author : International Monetary
language : en
Publisher: International Monetary Fund
Release Date : 2023-07-13
Zambia written by International Monetary and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-13 with Business & Economics categories.
Zambia: Selected Issues
Sovereign Risk And Asset And Liability Management
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Author : Mr.Udaibir S Das
language : en
Publisher: International Monetary Fund
Release Date : 2012-10-04
Sovereign Risk And Asset And Liability Management written by Mr.Udaibir S Das and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-04 with Business & Economics categories.
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operational instrument in formulating asset management and debtor liability management strategies at the sovereign level. From a portfolio perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial characteristics of the balance sheet, identifying sources of costs and risks, and quantifying the correlations among these sources of risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for further policy and analytical work on this topic.
Brazil
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2018-11-30
Brazil written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-30 with Business & Economics categories.
The financial system has been resilient through the severe recession. Banks and investment funds dominate Brazil’s financial system landscape. The banking sector has continued to be well-capitalized, profitable, and liquid. Profitability has been supported by prudent lending standards, high interest margins and robust fee income, despite record loan losses. Outstanding nonperforming loans have increased marginally during the recession largely because banks have actively written off bad loans. The investment fund industry has also been solid, enjoying a steady growth of assets under management without experiencing net outflows, in aggregate, during the recession. Market-based indicators point to relatively low levels of systemic risk in 2017. However, the outlook for the nonbank sector will become more challenging in the environment of lower interest rates, as lower returns will affect investment income and a search for yield may increase risk-taking.
Singapore
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-15
Singapore written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-15 with Business & Economics categories.
This Financial System Stability Assessment paper on Singapore highlights the attractiveness of Singapore as a financial center is underpinned by strong economic fundamentals, sound economic policies, and a sophisticated financial oversight framework. The financial system is exposed to global and regional macrofinancial shocks through significant trade and financial channels but appears resilient even under adverse scenarios. However, banks’ US dollar liquidity is vulnerable to stress conditions. Fintech developments so far have focused on partnerships with existing financial institutions and do not appear to contribute significantly to systemic risk. Singapore authorities should continue to enhance its strong oversight of the financial system. Strengthening the framework for resolution and safety nets, namely by devoting more resources to the Monetary Authority of Singapore (MAS)’ Resolution Unit; and enhancing the oversight of MAS Electronic Payments System by ensuring more staffing resources are two other important areas for action.
United States
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-07-29
United States written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-29 with Business & Economics categories.
The stress testing analysis in the United States was based on publicly available information and on models that are subject to a considerable degree of uncertainty. The stress tests illustrate important vulnerabilities in the banking sector. It highlights the importance of macrofinancial linkages, and dependencies among the largest institutions. The results illustrate the high sensitivity of Bank Holding Company’s asset quality and capital positions. Market liquidity risks appear to have declined, although financial firms remain vulnerable to funding rollover risk. The life insurance sector is relatively resilient.
From Fragmentation To Financial Integration In Europe
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Author : Mr.Charles Enoch
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-11
From Fragmentation To Financial Integration In Europe written by Mr.Charles Enoch and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-11 with Business & Economics categories.
From Fragmentation to Financial Integration in Europe is a comprehensive study of the European Union financial system. It provides an overview of the issues central to securing a safer financial system for the European Union and looks at the responses to the global financial crisis, both at the macro level—the pendulum of financial integration and fragmentation—and at the micro level—the institutional reforms that are taking place to address the crisis. The emerging financial sector management infrastructure, including the proposed Single Supervisory Mechanism and other elements of a banking union for the euro area, are also discussed in detail.