04124nam 2200613Ia 450 991046422950332120170821160742.01-4623-4165-91-4527-2788-01-282-84227-797866128422761-4518-7151-1(CKB)3170000000055172(EBL)1608128(SSID)ssj0000940066(PQKBManifestationID)11502266(PQKBTitleCode)TC0000940066(PQKBWorkID)10946754(PQKB)10168113(OCoLC)469097766(MiAaPQ)EBC1608128(EXLCZ)99317000000005517220041202d2009 uf 0engur|n|---|||||txtccrBanking stability measures[electronic resource] /prepared by Miguel A. Segoviano and Charles Goodhart[Washington D.C.] International Monetary Fund20091 online resource (56 p.)IMF working paper ;WP/09/4Description based upon print version of record.1-4519-1587-X Includes bibliographical references.Contents; I. Introduction; II. Distress Dependence among Banks and Stability of the Banking System; Figures; 1. The Probability of Distress; III. Banking System Multivariate Density; A. The CIMDO Approach: Modeling the Banking System Multivariate Density; 2. The Banking System's Multivariate Density; B. The CIMDO-copula: Distress Dependence among Banks in the System; Box; 1. Drawbacks to the Characterization of Distress Dependence of Financial Returns with Correlations; IV. Banking Stability Measures; A. Common Distress in the Banks of the System; B. Distress Between Specific BanksC. Distress in the System Associated with a Specific BankTables; 1. Distress Dependence Matrix; V. Banking Stability Measures: Empirical Results; 3. Probability That At Least One Bank Becomes Distressed; A. Estimation of Probabilities of Distress of Individual Banks; B. Examination of Relative Changes of Stability over Time; 4. Joint Probability of Distress; 5. Banking Stability Index; 6. Daily Percentage Increase: Joint and Average Probability of Distress; 7. PAO: Lehman; C. Analysis of Cross-Region Effects Between Different Banking GroupsD. Analysis of Foreign Banks' Risks to Sovereigns with Banking Systems with Cross-Border Institutions2. Distress Dependence Matrix: American and European Banks; 8. Foreign-Bank and Sovereign Risks; 3. Distress Dependence Matrix: Latin America. Sovereigns and Banks; 4. Distress Dependence Matrix: Eastern Europe. Sovereigns and Banks; 5. Distress Dependence Matrix: Asia. Sovereigns and Banks; VI. Conclusions; Appendixes; I. Copula Functions; II. CIMDO-copula; III. CIMDO-density and CIMDO-copula Evaluation Framework; IV. Estimation of Probabilities of Distress of Individual Banks; ReferencesThis paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distress between specific banks, and (iii) distress in the system associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated. The BSMD embeds the banks' default inter-deIMF working paper ;WP/09/4.Economic stabilizationBanks and bankingElectronic books.Economic stabilization.Banks and banking.Segoviano Miguel A871540Goodhart C. A. E(Charles Albert Eric)116084MiAaPQMiAaPQMiAaPQBOOK9910464229503321Banking stability measures2060014UNINA