Systemic Risk Monitoring ("SysMo") toolkit -- a user guide

Systemic Risk Monitoring ("SysMo") toolkit -- a user guide / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, and Laura Valderrama.

There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of curr...

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Bibliographic Details
Main Author: Blancher, Nicolas R.
Format: eBook
Language:English
Published: International Monetary Fund, 2013.
Series:IMF Working Papers ; Working Paper no. 13/168.
Subjects:
Financial risk management.
Macroeconomics.
BUSINESS & ECONOMICS > Finance.
Financial risk management
Macroeconomics
Banking Crisis.
Banking Sector.
Banking System.
Banking.
Model Construction and Estimation.
Other.
Ireland.
Japan.
Korea, Republic of.
Spain.
United States.
Online Access:Click for online access
Table of Contents:
  • Cover; Contents; Glossary; B; C; D; E; F; G; J; K; L; M; O; P; S; V; I. Introduction; II. Approaching Systemic Risk; A. What is Systemic Risk?; B. Key Features of the Toolkit; III. Mapping Tools to the Territory-A Practical Approach; A. Financial institutions: Is Excessive Risk Building Up in Financial Institutions?; B. Asset Prices: Are Asset Prices Growing Too Fast?; C. Sovereign Risk: How Much is Sovereign Risk a Source of Systemic Risk?; D. Broader Economy: What are the Amplification Channels among Sectors and through the Domestic Economy?
  • E. Cross-Border Linkages: What are the Amplification Channels through Cross-Border Spillovers?F. Crisis Risks: What is the Probability of a Systemic Crisis?; IV. Sample Country Case Study; V. Key Findings and Operational Implications; Referrences; Table; 1. Characteristics of Different Systemic Risk Monitoring tools-A Summary; Figures; 1. Structure of the Guide; 2. Buildup of Systemic Risk: Sources and Channels; 3. Unwinding of Systemic Risk: Sources and Channels; 4. Systemic Risk Dashboard for a Fictitious Country X at end-2007; Appendix: Tools Binder; Contents.
  • I. Conditional Value-At-Risk (CoVaR)II. Joint Distress Indicators; III. Returns Spillovers; IV. Distress Spillovers; V. Market-Based Probability of Default; VI. Debt Sustainability Analysis (DSA); VII. Indicators of Fiscal Stress; VIII. Sovereign Funding Shock Scenarios; IX. Asset Price Models; X. Balance Sheet Approach; XI. Systemic CCA; XII. Cross-Border Interconnectedness; XIII. Cross-border Network Contagion; XIV. Systemic Liquidity Risk Indicator; XV. Regime-Switching Volatility Model; XVI. Financial Soundness Indicators (FSIs); XVII. Bank Health Assessment Tool (HEAT).
  • XVIII. Thresholds ModelXIX. Macro Stress Tests; XX. GDP at Risk; XXI. Credit to GDP-Based Crisis Prediction Model; XXII. Crisis Prediction Models; XXIII. DSGE Model.

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