Info
Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide / / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama
| Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide / / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama |
| Autore | Blancher Nicolas |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2013 |
| Descrizione fisica | 1 online resource (81 p.) |
| Altri autori (Persone) |
MitraSrobona
MorsyHanan OtaniAkira SeveroTiago ValderramaLaura |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial risk management
Macroeconomics Finance: General Financial Risk Management Financial Institutions and Services: Other Model Construction and Estimation General Financial Markets: Government Policy and Regulation Financial Crises Price Level Inflation Deflation Financial Institutions and Services: Government Policy and Regulation Finance Economic & financial crises & disasters Systemic risk Financial crises Asset prices Systemic risk assessment Stress testing Prices |
| ISBN |
1-4755-5780-9
1-4843-8476-8 1-4843-4928-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Indicators III. 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 XXI. Credit to GDP-Based Crisis Prediction ModelXXII. Crisis Prediction Models; XXIII. DSGE Model; Referrences |
| Record Nr. | UNINA-9910790594503321 |
Blancher Nicolas
|
||
| Washington, D.C. : , : International Monetary Fund, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide / / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama
| Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide / / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama |
| Autore | Blancher Nicolas |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2013 |
| Descrizione fisica | 1 online resource (81 p.) |
| Disciplina | 332.1 |
| Altri autori (Persone) |
MitraSrobona
MorsyHanan OtaniAkira SeveroTiago ValderramaLaura |
| Collana | IMF Working Papers |
| Soggetto topico |
Financial risk management
Macroeconomics Asset prices Deflation Economic & financial crises & disasters Finance Finance: General Financial Crises Financial crises Financial Institutions and Services: Government Policy and Regulation Financial Institutions and Services: Other Financial Risk Management General Financial Markets: Government Policy and Regulation Inflation Model Construction and Estimation Price Level Prices Stress testing Systemic risk assessment Systemic risk |
| ISBN |
9781475557800
1475557809 9781484384763 1484384768 9781484349281 1484349288 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Indicators III. 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 XXI. Credit to GDP-Based Crisis Prediction ModelXXII. Crisis Prediction Models; XXIII. DSGE Model; Referrences |
| Record Nr. | UNINA-9910970942003321 |
|
Blancher Nicolas
|
||
| Washington, D.C. : , : International Monetary Fund, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||