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Cross-Border Financial Surveillance: A Network Perspective

Author/Editor: Espinosa-Vega, Marco | Sole, Juan
Authorized for Distribution: April 1, 2010
Electronic Access: Free Full Text (PDF file size is 2,860KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
 
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Series: Working Paper No. 10/105
Subject(s): Bank credit | Banking systems | Chile | Credit risk | Cross country analysis | Economic models | External shocks | Financial crisis | Financial risk | Financial sector | Global Financial Crisis 2008-2009 | Risk management
Author's keyword(s): Financial Surveillance | Network Analysis | Cross-Border Financial Linkages
 
English  
    Published:   April 1, 2010        
            Format:   Paper
    Stock No:   WPIEA2010105   Pages:   27
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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