LEADER 06484oam 22011654 450 001 9910790594503321 005 20230803021510.0 010 $a1-4755-5780-9 010 $a1-4843-8476-8 010 $a1-4843-4928-8 035 $a(CKB)2550000001111768 035 $a(EBL)1588072 035 $a(SSID)ssj0001104143 035 $a(PQKBManifestationID)11701121 035 $a(PQKBTitleCode)TC0001104143 035 $a(PQKBWorkID)11088394 035 $a(PQKB)11564261 035 $a(MiAaPQ)EBC1588072 035 $a(Au-PeEL)EBL1588072 035 $a(CaPaEBR)ebr10748310 035 $a(CaONFJC)MIL511660 035 $a(OCoLC)856625996 035 $a(IMF)WPIEE2013168 035 $a(IMF)WPIEA2013168 035 $a(EXLCZ)992550000001111768 100 $a20020129d2013 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSystemic Risk Monitoring ("SysMo") Toolkit?A User Guide /$fNicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2013. 215 $a1 online resource (81 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4843-8343-5 311 $a1-299-80409-8 320 $aIncludes bibliographical references. 327 $aCover; 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? 327 $aD. 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 Indicators 327 $aIII. 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 Risk 327 $aXXI. Credit to GDP-Based Crisis Prediction ModelXXII. Crisis Prediction Models; XXIII. DSGE Model; Referrences 330 3 $aThere has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2013/168 606 $aFinancial risk management 606 $aMacroeconomics 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aMacroeconomics$2imf 606 $aFinancial Institutions and Services: Other$2imf 606 $aModel Construction and Estimation$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aFinancial Crises$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aFinance$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aSystemic risk$2imf 606 $aFinancial crises$2imf 606 $aAsset prices$2imf 606 $aSystemic risk assessment$2imf 606 $aStress testing$2imf 606 $aFinancial risk management$2imf 606 $aPrices$2imf 615 0$aFinancial risk management. 615 0$aMacroeconomics. 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aMacroeconomics 615 7$aFinancial Institutions and Services: Other 615 7$aModel Construction and Estimation 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aFinancial Crises 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aFinance 615 7$aEconomic & financial crises & disasters 615 7$aSystemic risk 615 7$aFinancial crises 615 7$aAsset prices 615 7$aSystemic risk assessment 615 7$aStress testing 615 7$aFinancial risk management 615 7$aPrices 700 $aBlancher$b Nicolas$01544746 701 $aMitra$b Srobona$01544747 701 $aMorsy$b Hanan$01472707 701 $aOtani$b Akira$01544748 701 $aSevero$b Tiago$01532210 701 $aValderrama$b Laura$01481162 801 0$bDcWaIMF 906 $aBOOK 912 $a9910790594503321 996 $aSystemic Risk Monitoring ("SysMo") Toolkit?A User Guide$93799194 997 $aUNINA