Uncertainty Non Linear Contagion And The Credit Quality Channel An Application To The Spanish Interbank Market
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Uncertainty Non Linear Contagion And The Credit Quality Channel An Application To The Spanish Interbank Market
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Author : Adrián Carro
language : en
Publisher:
Release Date : 2022
Uncertainty Non Linear Contagion And The Credit Quality Channel An Application To The Spanish Interbank Market written by Adrián Carro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Comap Mapping Contagion In The Euro Area Banking Sector
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Author : Mehmet Ziya Gorpe
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-10
Comap Mapping Contagion In The Euro Area Banking Sector written by Mehmet Ziya Gorpe 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 2019-05-10 with Business & Economics categories.
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
The Credit Quality Channel
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Author : Kilian Fink
language : de
Publisher:
Release Date : 2015
The Credit Quality Channel written by Kilian Fink and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Los Retos De La Empresa El Derecho Y La Comunicaci N En El Mundo Actual
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Author : Oliver Cuello, Rafael
language : es
Publisher: J.M Bosch
Release Date : 2023-01-27
Los Retos De La Empresa El Derecho Y La Comunicaci N En El Mundo Actual written by Oliver Cuello, Rafael and has been published by J.M Bosch this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-27 with Law categories.
The Uncertainty Channel Of Contagion
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Author : Mr.Prakash Kannan
language : en
Publisher: International Monetary Fund
Release Date : 2009-10-01
The Uncertainty Channel Of Contagion written by Mr.Prakash Kannan 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 2009-10-01 with Business & Economics categories.
The 2007 subprime crisis in the U.S. triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion. Incidences of surprise crises lead investors to doubt the accuracy of their informationgathering technology, which endogenously increases the probability of crises elsewhere. Anticipated crisis, instead, have the opposite effect. Importantly, this channel is empirically shown to have an independent effect beyond other contagion channels.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian 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 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Risk Topography
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Author : Markus Brunnermeier
language : en
Publisher: University of Chicago Press
Release Date : 2014-10-17
Risk Topography written by Markus Brunnermeier and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-17 with Business & Economics categories.
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
Interconnectedness And Contagion Analysis A Practical Framework
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Author : Mrs.Jana Bricco
language : en
Publisher: International Monetary Fund
Release Date : 2019-10-11
Interconnectedness And Contagion Analysis A Practical Framework written by Mrs.Jana Bricco 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 2019-10-11 with Business & Economics categories.
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Handbook On Systemic Risk
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23
Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Business & Economics categories.
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Cross Border Interbank Contagion Risk Analysis
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Author : Roman Matousek
language : en
Publisher: Cambridge University Press
Release Date : 2020-07-30
Cross Border Interbank Contagion Risk Analysis written by Roman Matousek and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Business & Economics categories.
This Element provides a detailed overview of the structural changes in the Asia-Pacific region from the early 2000s onwards. It reviews the most relevant literature on this important topic. The following two research areas are explored: first, by deploying visual network analysis (VNA), we analyse cross-border interbank claims and liabilities of the individual countries located in the Asia-Pacific region. Such an analysis evaluates interbank exposures to systematically important banks within the specific market. The important advantage of VNA is that it allows us to examine the 'hierarchical' cross-country interbank contagion risk that seems to have been neglected in similar studies. Secondly, we evaluate the contagion risk to the individual countries spreading from the financial centres in Hong Kong, Singapore, Tokyo, New York and London. The analysis unveils links and statistical factors that could be used as a key tool for detecting the potential triggers of systemic risk.