LEADER 04124nam  2200613Ia 450 
001 9910464229503321
005 20170821160742.0
010   $a1-4623-4165-9
010   $a1-4527-2788-0
010   $a1-282-84227-7
010   $a9786612842276
010   $a1-4518-7151-1
035   $a(CKB)3170000000055172
035   $a(EBL)1608128
035   $a(SSID)ssj0000940066
035   $a(PQKBManifestationID)11502266
035   $a(PQKBTitleCode)TC0000940066
035   $a(PQKBWorkID)10946754
035   $a(PQKB)10168113
035   $a(OCoLC)469097766
035   $a(MiAaPQ)EBC1608128
035   $a(EXLCZ)993170000000055172
100   $a20041202d2009      uf             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aBanking stability measures$b[electronic resource] /$fprepared by Miguel A. Segoviano and Charles Goodhart
210   $a[Washington D.C.] $cInternational Monetary Fund$d2009
215   $a1 online resource (56 p.)
225 1 $aIMF working paper ;$vWP/09/4
300   $aDescription based upon print version of record.
311   $a1-4519-1587-X 
320   $aIncludes bibliographical references.
327   $aContents; 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 Banks
327   $aC. 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 Groups
327   $aD. 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; References
330   $aThis paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distress between specific banks, and (iii) distress in the system associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated. The BSMD embeds the banks' default inter-de
410  0$aIMF working paper ;$vWP/09/4.
606   $aEconomic stabilization
606   $aBanks and banking
608   $aElectronic books.
615  0$aEconomic stabilization.
615  0$aBanks and banking.
700   $aSegoviano$b Miguel A$0871540
701   $aGoodhart$b C. A. E$g(Charles Albert Eric)$0116084
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910464229503321
996   $aBanking stability measures$92060014
997   $aUNINA