Bank Network Analysis in the ECCU

Author/Editor:

Balazs Csonto ; Alejandro D Guerson ; Alla Myrvoda ; Emefa Sewordor

Publication Date:

July 12, 2018

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

This paper applies network analysis to assess the extent of systemic vulnerabilities in the ECCU banking system. It includes two sets of illustrative stress tests. First, solvency and liquidity shocks to each individual bank and the impact on other banks in the network through their biltareal net asset exposures. Second, country and region-wide tail shocks to GDP affecting capital and liquidity of all banks in the shocked jurisdictions, followed by the rippling effects through the regional network. The results identify systemic institutions that merit hightened attention by the regulator, as determined by the degree of connectivity with the rest of the system, and the extent to which they are vulnerable to the failure of other banks.

Series:

Working Paper No. 2018/162

Subject:

English

Publication Date:

July 12, 2018

ISBN/ISSN:

9781484367506/1018-5941

Stock No:

WPIEA2018162

Pages:

32

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