LEADER 06506oam 22011294 450 001 9910788349903321 005 20230721045644.0 010 $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(IMF)WPIEE2009004 035 $a(EXLCZ)993170000000055172 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aBanking Stability Measures /$fC. Goodhart, Miguel Segoviano 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (56 p.) 225 1 $aIMF Working Papers 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 3 $aThis paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distress between specific banks, and (iii) distress in the system associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated. The BSMD embeds the banks' default inter-dependence structure that captures linear and non-linear distress dependencies among the banks in the system, and its changes at different times of the economic cycle. The BSMD is recovered using the CIMDO-approach, a new approach that in the presence of restricted data, improves density specification without explicitly imposing parametric forms that, under restricted data sets, are difficult to model. Thus, the proposed measures can be constructed from a very limited set of publicly available data and can be provided for a wide range of both developing and developed countries. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/004 606 $aEconomic stabilization 606 $aBanks and banking 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data)$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aBanking$2imf 606 $aMonetary economics$2imf 606 $aEconomic growth$2imf 606 $aFinance$2imf 606 $aCommercial banks$2imf 606 $aCredit default swap$2imf 606 $aBusiness cycles$2imf 606 $aSystemic risk$2imf 606 $aBanks and banking$2imf 606 $aCredit$2imf 606 $aFinancial risk management$2imf 607 $aMexico$2imf 615 0$aEconomic stabilization. 615 0$aBanks and banking. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data) 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aBanking 615 7$aMonetary economics 615 7$aEconomic growth 615 7$aFinance 615 7$aCommercial banks 615 7$aCredit default swap 615 7$aBusiness cycles 615 7$aSystemic risk 615 7$aBanks and banking 615 7$aCredit 615 7$aFinancial risk management 700 $aGoodhart$b C$01491228 701 $aSegoviano$b Miguel$01464137 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788349903321 996 $aBanking Stability Measures$93712978 997 $aUNINA