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Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose
| Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose |
| Autore | Markose Sheri |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (59 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Derivative securities
Over-the-counter markets Banks and Banking Finance: General Investments: Derivatives Industries: Financial Services Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Financial Forecasting and Simulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Financial Institutions and Services: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Banking Systemic risk Derivative markets Systemically important financial institutions Financial derivatives Financial sector policy and analysis Financial markets Financial institutions Financial contagion Financial risk management Banks and banking Financial services industry |
| ISBN |
1-4755-9015-6
1-4755-3186-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis
A. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References |
| Record Nr. | UNINA-9910779643403321 |
Markose Sheri
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose
| Systemic Risk from Global Financial Derivatives : : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax / / Sheri Markose |
| Autore | Markose Sheri |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (59 p.) |
| Disciplina | 332.1532 |
| Collana | IMF Working Papers |
| Soggetto topico |
Derivative securities
Over-the-counter markets Banks and Banking Finance: General Investments: Derivatives Industries: Financial Services Financial Crises Banks Depository Institutions Micro Finance Institutions Mortgages Financial Forecasting and Simulation Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Financial Institutions and Services: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Banking Systemic risk Derivative markets Systemically important financial institutions Financial derivatives Financial sector policy and analysis Financial markets Financial institutions Financial contagion Financial risk management Banks and banking Financial services industry |
| ISBN |
1-4755-9015-6
1-4755-3186-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Gross Notional of Financial Derivatives; 2. Gross Market Values OTC Derivatives; II. Systemic Risk in OTC Derivatives: Modeling Challenges; A. SIFIs in Derivatives Markets and Market Concentration; 3. Affiliation Graph of Global SIFI's and United States (U.S.) FDIC FIs as Participants in the Five Financial Derivatives Markets; Tables; 1. Value and Market Share of Financial Derivatives for 202 FIs; B. Market Data Based Systemic Risk Measures and Financial Network Perspective; III. Financial Network Analysis
A. Adjacency Matrix and Gross Flow Matrix for Derivatives B. Bilaterally Netted Matrix of Payables and Receivables; C. Topology of Financial Networks Complete, Random, Core-periphery, Clustered, and Small World; 2. Networks Statistics: Diagonal Elements Characterize Small World; D. Economics Literature on Financial Networks; E. Eigenvalue Perspective of Network Stability; IV. Contagion and Stability Analysis; A. Furfine (2003) Methodology: Cascades from Failure of a Trigger Bank; B. Financial Network Stability Analysis; C. Mitigation and Management of Financial Contagion: Super-spreader Tax V. Empirical Results: Network Analysis of the Calibrated Aggregated Global Derivatives Market A. Empirical (Small World) Core-Periphery Network Algorithm; 4. Empirically Constructed Global Derivatives Network (Bilaterally) Aggregated over all Derivatives Products for FIs and Outside Entities: Empirical Small World Network in Tiered Layout; B. Global Derivatives Network Statistics (2009:Q4); 3. Network Statistics for Degree Distribution for Derivatives Network 2009 Q4; C. Eigenvector Centrality and Furfine Stress Test Results; 4. Rich Club Statistics 5. 2009:Q4 Derivatives Network Eigenvector Centrality and Furfine First Round Contagion Results for Top 20 FIs5. Furfine Contagion Stress test on Empirical Calibrated Derivatives; D. Quantification and Evaluation of the Super-spreader Tax (2009 Q4); 6. Maximum Eigenvalue (λ(sup[#])(sub[max]) ,Y-Axis) Using Different Values of α> 0(Equation; 7. Individual FI Tax Rates Obtained by Multiplying Right Eigenvector Centrality by or Different Values of Alpha α>0; VI. Conclusion; 6. Super-Spreader Tax Raised from Top 20 SIFIs; Appendix Tables; A.1 Financial Derivatives for the Top 22 Banks; References |
| Record Nr. | UNINA-9910809633503321 |
|
Markose Sheri
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Using the Balance Sheet Approach in Surveillance : : Framework and Data Sources and Availability / / Johan Mathisen, Anthony Pellechio
| Using the Balance Sheet Approach in Surveillance : : Framework and Data Sources and Availability / / Johan Mathisen, Anthony Pellechio |
| Autore | Mathisen Johan |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2007 |
| Descrizione fisica | 1 online resource (107 p.) |
| Altri autori (Persone) | PellechioAnthony |
| Soggetto topico |
Financial statements
Financial crises Accounting Exports and Imports Finance: General Money and Monetary Policy Industries: Financial Services Investments: Derivatives Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Public Administration Public Sector Accounting and Audits Monetary Systems Standards Regimes Government and the Monetary System Payment Systems International Investment Long-term Capital Movements Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: General Finance Financial reporting, financial statements Monetary economics International economics Econometrics & economic statistics Ownership & organization of enterprises Financial instruments Currencies International investment position Financial derivatives Public financial management (PFM) Money External position Financial institutions Finance, Public Investments, Foreign Derivative securities |
| ISBN |
1-4623-8141-3
1-4527-4527-7 1-283-53613-7 9786613848581 1-4519-3300-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; Boxes; Preface; Abbreviations; 1. Introduction; 1. Interrelationships of the Balance Sheet and Accumulation Accounts; 1. Recent Country Examples of Balance Sheet Analysis; 2. Main Objectives of the Balance Sheet Approach; 3. Key Features of the Framework for Analysis; 1. Intersectoral Asset and Liability Position Matrix; 2. South Africa: Net Intersectoral Asset and Liability Matrix; Sectorization; 2. Sectorizing Public Entities (General Government versus Public Corporations); 3. Sectors and Financial Instrument Categories
Classification and Valuation of Financial Instruments 3. Common Foreign Currency Balance Sheet Relationships in Partially Dollarized Emerging Market Economies; Levels of Complexity; 4. Data Methodologies and Availability for Balance Sheet Analysis; Relationship Between the BSA and 1993 SNA Methodologies and Datasets; 2. Relevant Data Methodologies; Potential Databases for the BSA; 4. Potential Data Sources for Estimating Intersectoral Asset and Liability Matrix; 5. Uses of Standardized Report Form Data to Estimate Intersectoral Asset and Liability Positions 4. South Africa: Sectoral Net Financial Positions, by Currency 5. South Africa: Sectoral Net Financial Positions vis-à-vis Nonresidents, by Currency; 6. South Africa: Other Depository Corporations' Detailed Positions vis-à-vis Nonresidents, by Currency and Instrument; Data Availability; Data Reliability; 6. Available Datasets for Balance Sheet Vulnerability Analysis; 7. Data Reliability by Sector; 8. Data Reliability by Financial Instrument; 5. Using Timely and Frequent Balance Sheet Analysis in Surveillance; 6. Conclusions; Appendix I. Definitions of Sectors Appendix II. Definitions of Financial Instruments References; Footnotes |
| Record Nr. | UNINA-9910780744803321 |
|
Mathisen Johan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Using the Balance Sheet Approach in Surveillance : : Framework and Data Sources and Availability / / Johan Mathisen, Anthony Pellechio
| Using the Balance Sheet Approach in Surveillance : : Framework and Data Sources and Availability / / Johan Mathisen, Anthony Pellechio |
| Autore | Mathisen Johan |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2007 |
| Descrizione fisica | 1 online resource (107 p.) |
| Altri autori (Persone) | PellechioAnthony |
| Soggetto topico |
Financial statements
Financial crises Accounting Exports and Imports Finance: General Money and Monetary Policy Industries: Financial Services Investments: Derivatives Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Public Administration Public Sector Accounting and Audits Monetary Systems Standards Regimes Government and the Monetary System Payment Systems International Investment Long-term Capital Movements Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: General Finance Financial reporting, financial statements Monetary economics International economics Econometrics & economic statistics Ownership & organization of enterprises Financial instruments Currencies International investment position Financial derivatives Public financial management (PFM) Money External position Financial institutions Finance, Public Investments, Foreign Derivative securities |
| ISBN |
1-4623-8141-3
1-4527-4527-7 1-283-53613-7 9786613848581 1-4519-3300-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; Boxes; Preface; Abbreviations; 1. Introduction; 1. Interrelationships of the Balance Sheet and Accumulation Accounts; 1. Recent Country Examples of Balance Sheet Analysis; 2. Main Objectives of the Balance Sheet Approach; 3. Key Features of the Framework for Analysis; 1. Intersectoral Asset and Liability Position Matrix; 2. South Africa: Net Intersectoral Asset and Liability Matrix; Sectorization; 2. Sectorizing Public Entities (General Government versus Public Corporations); 3. Sectors and Financial Instrument Categories
Classification and Valuation of Financial Instruments 3. Common Foreign Currency Balance Sheet Relationships in Partially Dollarized Emerging Market Economies; Levels of Complexity; 4. Data Methodologies and Availability for Balance Sheet Analysis; Relationship Between the BSA and 1993 SNA Methodologies and Datasets; 2. Relevant Data Methodologies; Potential Databases for the BSA; 4. Potential Data Sources for Estimating Intersectoral Asset and Liability Matrix; 5. Uses of Standardized Report Form Data to Estimate Intersectoral Asset and Liability Positions 4. South Africa: Sectoral Net Financial Positions, by Currency 5. South Africa: Sectoral Net Financial Positions vis-à-vis Nonresidents, by Currency; 6. South Africa: Other Depository Corporations' Detailed Positions vis-à-vis Nonresidents, by Currency and Instrument; Data Availability; Data Reliability; 6. Available Datasets for Balance Sheet Vulnerability Analysis; 7. Data Reliability by Sector; 8. Data Reliability by Financial Instrument; 5. Using Timely and Frequent Balance Sheet Analysis in Surveillance; 6. Conclusions; Appendix I. Definitions of Sectors Appendix II. Definitions of Financial Instruments References; Footnotes |
| Record Nr. | UNINA-9910815075503321 |
|
Mathisen Johan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||