UID:
edoccha_9958057715902883
Format:
1 online resource (43 p.)
ISBN:
1-4623-1034-6
,
1-4527-1271-9
,
1-283-56063-1
,
1-4552-0012-3
,
9786613873088
Series Statement:
IMF working paper ; WP/10/105
Content:
Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Note:
"April 2010."
,
At head of title: Monetary and Capital Markets Department.
,
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Network Analysis based on Interbank Exposures; II. A Simple Interbank Exposure Model; A. Network Simulations of Credit and Liquidity Shocks; 2. Effect of a Credit Shock on a Bank's Balance Sheet; 3. Effect of Credit and Funding Shock on a Bank's Balance Sheet; B. The Simulation Algorithms; C. The Data; 4. Cross-Border Claims on Immediate Borrower Basis and Ultimate Risk Basis; III. Simulation Results; A. Simulation 1: The Transmission of a Credit Shock; 1. Results for Simulation 1 (Credit Channel)
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6. Number of Induced Failures2. Country-by-Country Capital Impairment; 7. Country-by-Country Vulnerability Level; 8. Contagion Path Triggered by the U.K. Failure Under the Credit Shock Scenario; B. Simulation 2: The Transmission of a Credit-plus-Funding Shock; 3. Results for Simulation 2 (Credit and Funding Channel); 4. Country-by-Country Capital Impairment (Credit and Funding Channel); C. Simulations 3 and 4: Transmission of Shocks in the Presence of Risk Transfers; 9. Number of Induced Failures-Uniform Distribution; 10. Country-by-Country Vulnerability Level-Uniform Distribution
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11. Number of Induced Failures-Biased Distribution12. Country-by-Country Vulnerability Level-Biased Distribution; IV. Concluding Remarks; Appendix I: Comparing Results Based on the IBB and the URB Datasets; References; Footnotes
,
English
Additional Edition:
ISBN 1-4552-0064-6
Language:
English
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