Comap Mapping Contagion In The Euro Area Banking Sector

Author : Mehmet Ziya Gorpe
Publisher : International Monetary Fund
ISBN 13 : 1498315348
Total Pages : 63 pages
Book Rating : 4.40/5 ( download)

DOWNLOAD NOW!

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 2019-05-13 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.

Author : Mehmet Ziya Gorpe
Publisher : International Monetary Fund
ISBN 13 : 1498312071
Total Pages : 63 pages
Book Rating : 4.73/5 ( download)

DOWNLOAD NOW!

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.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1484369289
Total Pages : 86 pages
Book Rating : 4.89/5 ( download)

DOWNLOAD NOW!

Download or read book Euro Area Policies written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2018-07-20 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overall the resilience of large euro area banks has improved, but important vulnerabilities remain. Capital buffers are in aggregate sizeable relative to immediate threats, but some banks are especially vulnerable to credit risk and others to market risks, including a substantial rise in risk premia. The banking system as a whole has ample liquidity, against a backdrop of ECB support. At a structural level, low profitability is found in many banks across all business models, despite improving conjunctural conditions. The interconnectedness analysis shows that strong buffers are effective in dampening both vulnerabilities and onward transmission. Risks to financial stability relate mainly to tighter financial conditions, weaker growth, and policy and geopolitical uncertainties. The withdrawal of the United Kingdom from the EU (Brexit) could potentially disrupt financial market and services, and thus the wider economy. Also, policy reversals could hurt debt sustainability and test the cohesion of policy making in the union.

Author : Mrs.Jana Bricco
Publisher : International Monetary Fund
ISBN 13 : 1513517856
Total Pages : 49 pages
Book Rating : 4.58/5 ( download)

DOWNLOAD NOW!

Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
ISBN 13 : 1455200662
Total Pages : 27 pages
Book Rating : 4.65/5 ( download)

DOWNLOAD NOW!

Download or read book Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2010-04-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1513528785
Total Pages : 60 pages
Book Rating : 4.86/5 ( download)

DOWNLOAD NOW!

Download or read book Austria written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2020-02-03 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents Austria’s 2019 Financial System Stability Assessment. The Austrian authorities have proactively strengthened the financial stability framework since the previous Financial Sector Assessment Program (FSAP). The FSAP analysis suggests that banks are, in aggregate, resilient to severe macrofinancial shocks, although most banks would make use of capital conservation buffers. Mutual financial cooperation arrangements among banks act as a shock absorber for idiosyncratic shocks, but high financial interlinkages may fuel loss propagation in a systemic event. While a robust regulatory framework and prudential policy actions have lowered financial stability risks, challenges include data and regulatory gaps, resource constraints, high interconnectedness, and exposure to cross-border and money-laundering risks. Authorities should enhance monitoring and oversight related to contagion/spill over risks. This would include enhancing the stress testing framework to consider second round effects and contagion, improving data collection on foreign exposures, nonfinancial corporates and real estate, and strengthening supervision of related party, group-wide, and money-laundering risks. Supervisors should be able to take timely action and correct unsustainable risk taking, including unsustainable lending and business models.

Author : Mrs.Jana Bricco
Publisher : International Monetary Fund
ISBN 13 : 1513516221
Total Pages : 49 pages
Book Rating : 4.26/5 ( download)

DOWNLOAD NOW!

Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.93/5 ( download)

DOWNLOAD NOW!

Download or read book Japan: Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing; written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2024-05-13 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Japanese financial system has remained resilient through a series of shocks including the COVID-19 pandemic. Japan’s large and globally well-integrated financial system withstood the pandemic shock, aided by strong capital and liquidity buffers and extensive policy support. Credit provision to the private sector has remained robust since the pandemic, supporting a steady economic recovery.

Author : International Monetary
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.34/5 ( download)

DOWNLOAD NOW!

Download or read book Colombia: Financial System Stability Assessment written by International Monetary and published by International Monetary Fund. This book was released on 2022-04-04 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pandemic led to Colombia’s largest recession on record, but the economy bounced back strongly in 2021. The banking system has so far weathered the shock well, with the help of a strong policy and support response and strong initial position. Colombia is exposed to elevated external financing risks and the further prolongation of the pandemic. Large and complex financial conglomerates with increasing cross-border exposures dominate the financial system. The consumer-credit portfolio deserves attention as it has been growing fast and had high impairment rate during the pandemic.

Author : Xiaodan Ding
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.78/5 ( download)

DOWNLOAD NOW!

Download or read book A Framework for Systemwide Liquidity Analysis written by Xiaodan Ding and published by International Monetary Fund. This book was released on 2024-05-17 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We developed a novel Systemwide Liquidity (SWL) framework to identify liquidity stress in the system that goes beyond banks and to assess the role played by non-bank financial institutions (NBFIs) in episodes of liquidity stress. The framework, which complements standard liquidity and interconnectedness analyses, traces the flow of liquidity among various agents in the economy and explores possible transmission channels and amplification mechanisms of correlated liquidity shocks. The framework uses unique balance sheet and asset encumbrance data to demonstrate the importance of assessing liquidity at the system level by allowing for (i) analyses of each agent’s contribution to liquidity stress, (ii) analyses of the impact of different behavioral assumptions (e.g., pecking order of collateral utilization, negative externalities of fire-sales and margin positions), and (iii) policy simulations. Since this framework covers a comprehensive set of financial instruments and transactions, it paves the way for harmonization of systemwide liquidity analysis across countries. We applied this general framework to Mexico in the context of the FSAP. Results for Mexico show that commercial banks safeguard the resiliency of the financial system by backstopping the liquidity needs of other agents. Moreover, certain sectors appear more vulnerable when binding regulatory liquidity constraints trigger risk-averse behavioral responses.