Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems

Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems

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  • Author: Mr.Jorge A. Chan-Lau
  • Publisher: International Monetary Fund
  • ISBN: 1455200662
  • Category : Business & Economics
  • Languages : en
  • Pages : 27

The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between individual banks in Chile, an advanced emerging market economy.


A Guide to IMF Stress Testing

A Guide to IMF Stress Testing

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  • Author: Ms.Li L Ong
  • Publisher: International Monetary Fund
  • ISBN: 1484368584
  • Category : Business & Economics
  • Languages : en
  • Pages : 610

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).


A network analysis of global banking

A network analysis of global banking

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  • Author: Ms.Camelia Minoiu
  • Publisher: International Monetary Fund
  • ISBN: 1455227056
  • Category : Business & Economics
  • Languages : en
  • Pages : 43

In this paper we explore the properties of the global banking network using cross-border bank lending data for 184 countries over 1978-2009. Specifically, we analyze financial interconnectedness using network metrics of centrality, connectivity, and clustering. We document a relatively unstable global banking network, with structural breaks in network indicators identifying several waves of capital flows. Interconnectedness rankings, especially for borrowers, are relatively volatile over the period. Connectivity tends to fall during and after systemic banking crises and sovereign debt crises. The 2008-09 global financial crisis stands out as an unusually large perturbation to the cross-border banking network.


Chile

Chile

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  • Author: International Monetary Fund
  • Publisher: International Monetary Fund
  • ISBN: 1455208388
  • Category : Business & Economics
  • Languages : en
  • Pages : 58

The cornerstone of Chile’s impressive fiscal performance and strong fiscal system has been its structural balance rule. It has helped to insulate public spending from copper price cycles and improve the government’s net financial position. Chile should adopt a full-fledged medium-term fiscal framework to improve fiscal planning and provide a framework for addressing temporary deviations from the fiscal rule. Publishing additional fiscal indicators in the budget, such as the non-copper structural balance, could provide more comprehensive information on the impact of fiscal policy on the domestic demand.


SYSTEMIC RISK IN BANKING

SYSTEMIC RISK IN BANKING

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  • Author: Lorenzo Pagliaro
  • Publisher: American Academic Press
  • ISBN: 1631816659
  • Category : Business & Economics
  • Languages : en
  • Pages : 132

Shortly after the financial crisis of 2007-2008 many authors began to write about certain “huge institutions” potentially able to damage the entire financial system through negative shocks, approaching the issue of systemic risk in banking through the evaluation of the so called “Too-Big-to-Fail” actors. While the size of a bank is certainly a factor of risk when considering systemic implications, this book also explores the properties of some deeply interconnected institutions. The author’s main intuition is based on the renowned work by Mark Granovetter on “The Strength of Weak Ties” and “Economic Action and Social Structure: The Problem of Embeddedness”: dangerous flows, like financial shocks, may travel very quickly through networks in unexpectedly efficient ways thanks to “Weak Ties”. The existence of weaker yet longer ties implies a naturally “robust yet fragile” network where even distant actors are closely interconnected, sharing both opportunities and risks. As a consequence, some nodes may act as key actors under the structural perspective. It is therefore critical for the central authority to identify and closely monitor said institutions. Thanks to a journey through the history of Social Network Analysis this book offers a complete overview on the evolution of the methodology and the most recent applications to systemic risk assessment, which are completed by a critical approach towards the “Too-Interconnected-to-Fail” perspective.


Bank Network Analysis in the ECCU

Bank Network Analysis in the ECCU

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  • Author: Mr.Balazs Csonto
  • Publisher: International Monetary Fund
  • ISBN: 1484368509
  • Category : Business & Economics
  • Languages : en
  • Pages : 32

This paper applies network analysis to assess the extent of systemic vulnerabilities in the ECCU banking system. It includes two sets of illustrative stress tests. First, solvency and liquidity shocks to each individual bank and the impact on other banks in the network through their biltareal net asset exposures. Second, country and region-wide tail shocks to GDP affecting capital and liquidity of all banks in the shocked jurisdictions, followed by the rippling effects through the regional network. The results identify systemic institutions that merit hightened attention by the regulator, as determined by the degree of connectivity with the rest of the system, and the extent to which they are vulnerable to the failure of other banks.


Connected to Whom? International Interbank Borrowing During the Global Crisis

Connected to Whom? International Interbank Borrowing During the Global Crisis

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  • Author: Mr.Kalin Tintchev
  • Publisher: International Monetary Fund
  • ISBN: 147554202X
  • Category : Business & Economics
  • Languages : en
  • Pages : 33

The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to their domestic financial soundness and exposure to distressed international counterparties. The empirical findings suggest that both domestic and international risk factors contributed to the decline in international interbank borrowing during the crisis.


Mapping Financial Stability

Mapping Financial Stability

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  • Author: Peter Sarlin
  • Publisher: Springer Science & Business Media
  • ISBN: 364254956X
  • Category : Business & Economics
  • Languages : en
  • Pages : 233

This book approaches macroprudential oversight from the viewpoint of three tasks. The focus concerns a tight integration of means for risk communication into analytical tools for risk identification and risk assessment. Generally, this book explores approaches for representing complex data concerning financial entities on low-dimensional displays. Data and dimension reduction methods, and their combinations, hold promise for representing multivariate data structures in easily understandable formats. Accordingly, this book creates a Self-Organizing Financial Stability Map (SOFSM), and lays out a general framework for mapping the state of financial stability. Beyond external risk communication, the aim of the visual means is to support disciplined and structured judgmental analysis based upon policymakers' experience and domain intelligence.


Network Models in Economics and Finance

Network Models in Economics and Finance

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  • Author: Valery A. Kalyagin
  • Publisher: Springer
  • ISBN: 3319096834
  • Category : Mathematics
  • Languages : en
  • Pages : 295

Using network models to investigate the interconnectivity in modern economic systems allows researchers to better understand and explain some economic phenomena. This volume presents contributions by known experts and active researchers in economic and financial network modeling. Readers are provided with an understanding of the latest advances in network analysis as applied to economics, finance, corporate governance, and investments. Moreover, recent advances in market network analysis that focus on influential techniques for market graph analysis are also examined. Young researchers will find this volume particularly useful in facilitating their introduction to this new and fascinating field. Professionals in economics, financial management, various technologies, and network analysis, will find the network models presented in this book beneficial in analyzing the interconnectivity in modern economic systems.


Central Banking

Central Banking

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  • Author: Thammarak Moenjak
  • Publisher: John Wiley & Sons
  • ISBN: 1118832469
  • Category : Business & Economics
  • Languages : en
  • Pages : 341

Understand the theories and interpret the actions of modern central banks Central Banking takes a comprehensive look at the topic of central banking, and provides readers with an understanding and insights into the roles and functions of modern central banks in advanced as well as emerging economies, theories behind their thinking, and actual operations practices. The book takes a systematic approach to the topic, while providing an accessible format and style that is appropriate for general audiences and students with only a minimal macroeconomic background. Theoretical reviews and examples of how the theories are applied in practice are presented in an easy-to-understand manner and serve as a guide for readers to further investigate specific ancillary central banking topics and as a means to make informed judgments about central bank actions. Important topics covered in the book include: Evolution of central banking functions and the international monetary system Theoretical backgrounds that are the foundation to the modern practice of monetary policy Monetary policy regimes, including exchange rate targeting, money supply growth targeting, the risk management approach, inflation targeting, and unconventional monetary policy. Actual practice in market operations and transmission mechanisms of monetary policy The exchange rate and central banking Theoretical backgrounds related to various dimensions of financial stability Current developments with regards to sustaining financial stability The future of central banking in the wake of the 2007-2010 global financial crisis Case studies on relevant practical issues and key concepts in central banking Designed as essential reading for students, market analysts, investors, and central banks' new recruits, Central Banking better positions readers to interpret the actions of central banks and to understand the complexities of their position in the global financial arena.