Bank Network Analysis in the ECCU
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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:
Banking Commercial banks Credit Distressed institutions Financial institutions Financial regulation and supervision Market risk Money Nonperforming loans
English
Publication Date:
July 12, 2018
ISBN/ISSN:
9781484367506/1018-5941
Stock No:
WPIEA2018162
Pages:
32
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