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Assessing Systemic Risk Using Interbank Exposures In The Global Banking System
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Book Synopsis Assessing Systemic Risk Using Interbank Exposures in the Global Banking System by : Masayasu Kanno
Download or read book Assessing Systemic Risk Using Interbank Exposures in the Global Banking System written by Masayasu Kanno and published by . This book was released on 2016 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the literature on systemic risk by examining the network structure of bilateral exposures in the global banking system. The global interbank market constitutes a major part of the global banking system. The market has a hierarchical network structure, composed of the national or jurisdictional area's local markets and the cross-border interbank market. First, we estimate the bilateral exposures matrix using aggregate financial data on loans and deposits from Bankscope and analyze the interconnectedness in the market using network centrality measures. Subsequently, for the model analysis, we apply the Eisenberg-Noe framework to a multi-period setting. In this framework, bank defaults are classified into stand-alone defaults and contagious defaults. The banks in our sample (i.e., the top 202 banks with more than $50 billion in total assets) comprise a major part of this global banking system. The main findings are as follows: The theoretical network analysis using network centrality measures showed that most of the banks designated as global systemically important banks (G-SIBs) play a central role in the global interbank market. The theoretical default analysis showed a few contagious defaults triggered by the basic defaults during and after the global financial crisis. Our stress test proved that many G-SIBs theoretically caused 1-6 contagious defaults. Our methodology would assist in the development of a monitoring system by the respective supervisory authorities as well as in the implementation of bank-internal stress tests of default contagion.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 :149837624X Total Pages :42 pages Book Rating :4.4/5 (983 download)
Book Synopsis Switzerland by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Switzerland written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2014-09-03 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Technical Note on Systemic Risk and Contagion Analysis on Switzerland summarizes the systemic risk and contagion analysis undertaken for the Swiss financial system as part of the Financial Sector Assessment Program (FSAP) Update. Contagion risks arising from interbank exposures in Switzerland appear to be contained. This analysis shows only moderate effects, consistent with restrictions imposed by the Swiss ‘large exposure rules’ currently in place, and no material second round effects will materialize within the domestic interbank market. In terms of bank groups, domestic interbank exposure risks appear to be moderate for most banks, but a few small private banks and banks specialized in asset management appear to be somewhat vulnerable. The international contagion analysis suggests that global contagion risks among Global Systemically Important Financial Institutions and the large Swiss financial institutions appear to be currently contained. The systematic risk analysis shows that the relative contribution of domestically oriented banks to systemic risk is increasing. The bank-sovereign contagion analysis suggests that increases in banks capital buffers have contributed positively to limit contagion risks.
Book Synopsis Assessing Systemic Risk Based on Interbank Exposures in the Japanese Banking System by : Masayasu Kanno
Download or read book Assessing Systemic Risk Based on Interbank Exposures in the Japanese Banking System written by Masayasu Kanno and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the systemic risk literature by assessing the network structure of bilateral exposures in the Japanese interbank market. The Japanese interbank market is composed of call and bankers' acceptance markets, and the market participants are restricted to financial institutions domiciled in Japan. We analyze the systemic risk implied in Japanese interbank networks based on various network measures such as directed graphs, centrality measures, degree distributions, and Susceptible-Infected-Removable (SIR) models. The main findings show that the degree distributions of the Japanese interbank network follows a power law, and three mega-bank groups currently designated as globally systemically important banks (G-SIBs) overwhelm others in terms of size, interconnectedness, and substitutability.
Book Synopsis Handbook on Systemic Risk by : Jean-Pierre Fouque
Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Understanding Systemic Risk in Global Financial Markets by : Aron Gottesman
Download or read book Understanding Systemic Risk in Global Financial Markets written by Aron Gottesman and published by John Wiley & Sons. This book was released on 2017-06-15 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible and detailed overview of the risks posed by financial institutions Understanding Systemic Risk in Global Financial Markets offers an accessible yet detailed overview of the risks to financial stability posed by financial institutions designated as systemically important. The types of firms covered are primarily systemically important banks, non-banks, and financial market utilities such as central counterparties. Written by Aron Gottesman and Michael Leibrock, experts on the topic of systemic risk, this vital resource puts the spotlight on coherency, practitioner relevance, conceptual explanations, and practical exposition. Step by step, the authors explore the specific regulations enacted before and after the credit crisis of 2007-2009 to promote financial stability. The text also examines the criteria used by financial regulators to designate firms as systemically important. The quantitative and qualitative methods to measure the ongoing risks posed by systemically important financial institutions are surveyed. A review of the regulations that identify systemically important financial institutions The tools to use to detect early warning indications of default A review of historical systemic events their common causes Techniques to measure interconnectedness Approaches for ranking the order the institutions which pose the greatest degree of default risk to the industry Understanding Systemic Risk in Global Financial Markets offers a must-have guide to the fundamentals of systemic risk and the key critical policies that work to reduce systemic risk and promoting financial stability.
Book Synopsis Systemic Risks in Global Banking by : Mr.Eugenio Cerutti
Download or read book Systemic Risks in Global Banking written by Mr.Eugenio Cerutti and published by International Monetary Fund. This book was released on 2011-09-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis CoMap: Mapping Contagion in the Euro Area Banking Sector by : Mehmet Ziya Gorpe
Download or read book CoMap: Mapping Contagion in the Euro Area Banking Sector written by Mehmet Ziya Gorpe and published by International Monetary Fund. This book was released on 2019-05-10 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Bank Size and Systemic Risk by : Mr.Luc Laeven
Download or read book Bank Size and Systemic Risk written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2014-05-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.
Book Synopsis Quantifying Systemic Risk by : Joseph G. Haubrich
Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich and published by University of Chicago Press. This book was released on 2013-01-24 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Book Synopsis Systemic Risk Modeling: How Theory Can Meet Statistics by : Mr.Raphael A Espinoza
Download or read book Systemic Risk Modeling: How Theory Can Meet Statistics written by Mr.Raphael A Espinoza and published by International Monetary Fund. This book was released on 2020-03-13 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
Book Synopsis Measuring Systemic Risk-Adjusted Liquidity (SRL) by : Andreas Jobst
Download or read book Measuring Systemic Risk-Adjusted Liquidity (SRL) written by Andreas Jobst and published by International Monetary Fund. This book was released on 2012-08-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.
Download or read book Systemic Risk written by Prasanna Gai and published by Oxford University Press. This book was released on 2013-03-28 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.
Book Synopsis Estimating Bilateral Exposures in the German Interbank Market by : Christian Upper
Download or read book Estimating Bilateral Exposures in the German Interbank Market written by Christian Upper and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk associated with interbank lending may lead to domino effects, where the failureKreditrisiken aus Interbankbeziehungen können zu Dominoeffekten führen indem der.
Book Synopsis Measuring Systemic Risk by : Deyan Radev
Download or read book Measuring Systemic Risk written by Deyan Radev and published by Springer Nature. This book was released on 2022-02-07 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive methodology to measure systemic risk in many of its facets and dimensions based on state-of-the-art risk assessment methods. Systemic risk has gained attention in the public eye since the collapse of Lehman Brothers in 2008. The bankruptcy of the fourth-biggest bank in the USA raised questions whether banks that are allowed to become “too big to fail” and “too systemic to fail” should carry higher capital surcharges on their size and systemic importance. The Global Financial Crisis of 2008-2009 was followed by the Sovereign Debt Crisis in the euro area that saw the first Eurozone government de facto defaulting on its debt and prompted actions at international level to stem further domino and cascade effects to other Eurozone governments and banks. Against this backdrop, a careful measurement of systemic risk is of utmost importance for the new capital regulation to be successful and for sovereign risk to remain in check. Most importantly, the book introduces a number of systemic fragility indicators for banks and sovereigns that can help to assess systemic risk and the impact of macroprudential and microprudential policies.
Book Synopsis Cross-Border Interbank Contagion Risk Analysis by : Roman Matousek
Download or read book Cross-Border Interbank Contagion Risk Analysis written by Roman Matousek and published by Cambridge University Press. This book was released on 2020-07-30 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis SYSTEMIC RISK IN BANKING by : Lorenzo Pagliaro
Download or read book SYSTEMIC RISK IN BANKING written by Lorenzo Pagliaro and published by American Academic Press. This book was released on 2020-01-28 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Systemic Financial Crises by : Patrick Honohan
Download or read book Systemic Financial Crises written by Patrick Honohan and published by Cambridge University Press. This book was released on 2005-09-26 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Faced with a systemic financial sector crisis, policymakers need to make difficult choices under pressure. Based on the experience of many countries in recent years, few have been able to achieve a speedy, lasting and low-cost resolution. This volume considers the strengths and weaknesses of the various policy options, covering both microeconomic (including recapitalization of banks, bank closures, subsidies for distressed borrowers, capital adequacy rules and corporate governance and bankruptcy law requirements) and macroeconomic (including monetary and fiscal policy) dimensions. The contributors explore the important but little understood trade-offs that are involved, such as between policies which take effect quickly, those which minimize long-term fiscal and economic costs, and those which create favorable incentives for future stability. Successfully implementing crisis management and crisis resolution policy required attention to detail and a good flow of information.
