06484oam 22011654 450 991079059450332120230803021510.01-4755-5780-91-4843-8476-81-4843-4928-8(CKB)2550000001111768(EBL)1588072(SSID)ssj0001104143(PQKBManifestationID)11701121(PQKBTitleCode)TC0001104143(PQKBWorkID)11088394(PQKB)11564261(MiAaPQ)EBC1588072(Au-PeEL)EBL1588072(CaPaEBR)ebr10748310(CaONFJC)MIL511660(OCoLC)856625996(IMF)WPIEE2013168(IMF)WPIEA2013168(EXLCZ)99255000000111176820020129d2013 uf 0engur|n|---|||||txtccrSystemic Risk Monitoring ("SysMo") Toolkit—A User Guide /Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura ValderramaWashington, D.C. :International Monetary Fund,2013.1 online resource (81 p.)IMF Working PapersDescription based upon print version of record.1-4843-8343-5 1-299-80409-8 Includes bibliographical references.Cover; Contents; Glossary; B; C; D; E; F; G; J; K; L; M; O; P; S; V; I. Introduction; Figures; 1. Structure of the Guide; II. Approaching Systemic Risk; A. What is Systemic Risk?; B. Key Features of the Toolkit; 2. Buildup of Systemic Risk: Sources and Channels; 3. Unwinding of Systemic Risk: Sources and Channels; 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; 4. Systemic Risk Dashboard for a Fictitious Country X at end-2007; V. Key Findings and Operational Implications; Table; 1. Characteristics of Different Systemic Risk Monitoring tools-A Summary; Appendix: Tools Binder; Contents; I. Conditional Value-At-Risk (CoVaR); II. Joint Distress IndicatorsIII. Returns SpilloversIV. 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 Model; XIX. Macro Stress Tests; XX. GDP at RiskXXI. Credit to GDP-Based Crisis Prediction ModelXXII. Crisis Prediction Models; XXIII. DSGE Model; ReferrencesThere 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 current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.IMF Working Papers; Working Paper ;No. 2013/168Financial risk managementMacroeconomicsFinance: GeneralimfFinancial Risk ManagementimfMacroeconomicsimfFinancial Institutions and Services: OtherimfModel Construction and EstimationimfGeneral Financial Markets: Government Policy and RegulationimfFinancial CrisesimfPrice LevelimfInflationimfDeflationimfFinancial Institutions and Services: Government Policy and RegulationimfFinanceimfEconomic & financial crises & disastersimfSystemic riskimfFinancial crisesimfAsset pricesimfSystemic risk assessmentimfStress testingimfFinancial risk managementimfPricesimfFinancial risk management.Macroeconomics.Finance: GeneralFinancial Risk ManagementMacroeconomicsFinancial Institutions and Services: OtherModel Construction and EstimationGeneral Financial Markets: Government Policy and RegulationFinancial CrisesPrice LevelInflationDeflationFinancial Institutions and Services: Government Policy and RegulationFinanceEconomic & financial crises & disastersSystemic riskFinancial crisesAsset pricesSystemic risk assessmentStress testingFinancial risk managementPricesBlancher Nicolas1544746Mitra Srobona1544747Morsy Hanan1472707Otani Akira1544748Severo Tiago1532210Valderrama Laura1481162DcWaIMFBOOK9910790594503321Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide3799194UNINA