Cross-Border Interbank Contagion Risk Analysis
Cross-Border Interbank Contagion Risk Analysis

Author: Roman Matousek

Publisher: Cambridge University Press

Published: 2020-07-30

Total Pages: 106

ISBN-13: 1108898173

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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.

CoMap: Mapping Contagion in the Euro Area Banking Sector
CoMap: Mapping Contagion in the Euro Area Banking Sector

Author: Mehmet Ziya Gorpe

Publisher: International Monetary Fund

Published: 2019-05-10

Total Pages: 63

ISBN-13: 1498312071

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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.

Cross-Border Financial Surveillance
Cross-Border Financial Surveillance

Author: Marco A Espinosa-Vega

Publisher: International Monetary Fund

Published: 2010-04-01

Total Pages: 29

ISBN-13: 1455200646

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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.

Interconnectedness and Contagion Analysis: A Practical Framework
Interconnectedness and Contagion Analysis: A Practical Framework

Author: Mrs.Jana Bricco

Publisher: International Monetary Fund

Published: 2019-10-11

Total Pages: 49

ISBN-13: 1513517856

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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.

The Risks of Financial Institutions
The Risks of Financial Institutions

Author: Mark Carey

Publisher: University of Chicago Press

Published: 2007-11-01

Total Pages: 669

ISBN-13: 0226092984

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Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Pan-African Banks
Pan-African Banks

Author:

Publisher:

Published: 2015

Total Pages: 102

ISBN-13: 9781475547979

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Pan-African banks are expanding rapidly across the continent, creating cross-border networks, and having a systemic presence in the banking sectors of many Sub-Saharan African countries. These banking groups are fostering financial development and economic integration, stimulating competition and efficiency, introducing product innovation and modern management and information systems, and bringing higher skills and expertise to host countries. At the same time, the rise of pan-African banks presents new challenges for regulators and supervisors. As networks expand, new channels for transmission of macro-financial risks and spillovers across home and host countries may emerge. To ensure that the gains from cross border banking are sustained and avoid raising financial stability risks, enhanced cross-border cooperation on regulatory and supervisory oversight is needed, in particular to support effective supervision on a consolidated basis. This paper takes stock of the development of pan-African banking groups; identifies regulatory, supervisory and resolution gaps; and suggests how the IMF can help the authorities address the related challenges.

Handbook on Systemic Risk
Handbook on Systemic Risk

Author: Jean-Pierre Fouque

Publisher: Cambridge University Press

Published: 2013-05-23

Total Pages: 993

ISBN-13: 1107023432

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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.

Stress Testing at the IMF
Stress Testing at the IMF

Author: Mr.Tobias Adrian

Publisher: International Monetary Fund

Published: 2020-02-05

Total Pages: 73

ISBN-13: 1513520741

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This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Global Banks and International Shock Transmission
Global Banks and International Shock Transmission

Author: Nicola Cetorelli

Publisher: DIANE Publishing

Published: 2010-11

Total Pages: 41

ISBN-13: 1437933874

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Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market (EM) economies. The authors examine adverse liquidity shocks on main developed-country banking systems and their relationships to EM across Europe, Asia, and Latin Amer., isolating loan supply from loan demand effects. Loan supply in EM across Europe, Asia, and Latin Amer. was affected significantly through three separate channels: (1) a contraction in direct, cross-border lending by foreign banks; (2) a contraction in local lending by foreign banks¿ affiliates in EM; and (3) a contraction in loan supply by domestic banks, resulting from the funding shock to their balance sheets induced by the decline in interbank, cross-border lending. Charts and tables.