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1. |
Title:
Measuring Systemic Risk-Adjusted Liquidity (SRL) - A Model Approach
Author/Editor: Jobst, Andreas
Series: Working Paper No. 12/209
Published: August 1, 2012
Subject(s): Banking sector | Economic models | Liquidity | Risk management | United States
Author's keyword(s):
Systemic risk | liquidity risk | Net Stable Funding Ratio (NSFR) | extreme value theory | financial contagion | macroprudential regulation
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2. |
Title:
Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
Author/Editor: Severo, Tiago
Series: Working Paper No. 12/194
Published: July 1, 2012
Author's keyword(s):
Liquidity | systemic risk | banks | stock returns | insurance
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3. |
Title:
Externalities and Macroprudential Policy
Author/Editor: De Nicoló, Gianni ; Favara, Giovanni ; Ratnovski, Lev
Series: Staff Discussion Notes No. 12/5
Published: June 7, 2012
Subject(s): Macroprudential Policy | Financial systems | Banks | Capital markets | Financial risk | Financial stability | Risk management
Author's keyword(s):
Externalities | systemic risk | macroprudential policy
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4. |
Title:
Monitoring Systemic Risk Based on Dynamic Thresholds
Author/Editor: Lund-Jensen, Kasper
Series: Working Paper No. 12/159
Published: June 1, 2012
Subject(s): Banking crisis | Banking sector | Economic models | Financial risk
Author's keyword(s):
Systemic Risk | Financial Stability | Macroprudential Policy.
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5. |
Title:
Systemic Risk and Asymmetric Responses in the Financial Industry
Author/Editor: López-Espinosa, Germán ; Rubia, Antonio ; Valderrama, Laura ; Moreno, Antonio
Series: Working Paper No. 12/152
Published: June 1, 2012
Subject(s): Banking systems | Commercial banks | Economic models | Financial risk | Risk management
Author's keyword(s):
Value at Risk; systemic risk; tail-risk dependence; downside risk.
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6. |
Title:
Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
Author/Editor: De Nicoló, Gianni ; Lucchetta, Marcella
Series: Working Paper No. 12/58
Published: February 1, 2012
Subject(s): Economic indicators | Financial risk | Forecasting models | Group of seven | Time series
Author's keyword(s):
Systemic Risks | Dynamic Factor Model | Quantile Auto-regressions | Density Forecasts
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7. |
Title:
From Stress to CoStress: Stress Testing Interconnected Banking Systems
Author/Editor: Maino, Rodolfo ; Tintchev, Kalin
Series: Working Paper No. 12/53
Published: February 1, 2012
Subject(s): Banking systems | Credit expansion | Credit risk | Economic models | External shocks | Risk management
Author's keyword(s):
Stress Testing | Credit Risk | Systemic Risk
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8. |
Title:
Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach
Author/Editor: Lopez-Espinosa, German ; Moreno, Antonio ; Rubia, Antonio ; Valderrama, Laura
Series: Working Paper No. 12/46
Published: February 1, 2012
Subject(s): Economic models | Financial institutions | Financial risk | International banks | Liquidity
Author's keyword(s):
Systemic Risk | Wholesale Funding | Liquidity Risk | Macroprudential Regulation
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9. |
Title:
Managing Non-core Liabilities and Leverage of the Banking System: A Building Block for Macroprudential Policy Making in Korea
Author/Editor: Alichi, Ali ; Ryoo, Sang Chul ; Hong, Cheol
Series: Working Paper No. 12/27
Published: January 1, 2012
Subject(s): Banking systems | Debt | Economic models | Monetary policy | Korea, Republic of
Author's keyword(s):
Macroprudential Policies | Macroprudential Model | Systemic Risk
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10. |
Title:
Financial Stability Reports:What Are They Good For?
Author/Editor: Cihák, Martin ; Muñoz, Sònia ; Sharifuddin, Shakira Teh ; Tintchev, Kalin
Series: Working Paper No. 12/1
Published: January 1, 2012
Subject(s): Central banks | Data quality assessment framework | Financial stability | Public information notices
Author's keyword(s):
Financial Stability | Central Banking | Macro-Prudential Tools | Systemic Risk
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11. |
Title:
Macroprudential Policy: What Instruments and How to Use Them? Lessons from Country Experiences
Author/Editor: Lim, Cheng Hoon ; Columba, Francesco ; Costa, Alejo ; Kongsamut, Piyabha ; Otani, Akira ; Saiyid, Mustafa ; Wezel, Torsten ; Wu, Xiaoyong
Series: Working Paper No. 11/238
Published: October 1, 2011
Subject(s): Banks | Capital inflows | Credit risk | Cross country analysis | Developed countries | Emerging markets | Exchange rate regimes | Financial risk | Financial sector | Fiscal policy | Liquidity | Monetary policy
Author's keyword(s):
macroprudential | instruments | systemic risk | procyclicality | interconnectedness | credit | liquidity | capital.
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12. |
Title:
Making Banks Safer: Can Volcker and Vickers Do It?
Author/Editor: Chow, Julian T. S. ; Surti, Jay
Series: Working Paper No. 11/236
Published: October 1, 2011
Subject(s): Bank regulations | Bank supervision | Banking | Commercial banks | Fiscal risk | Risk management | Securities markets | United Kingdom | United States
Author's keyword(s):
Banks | Business Models | Systemic Risk
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13. |
Title:
Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?
Author/Editor: Cerutti, Eugenio ; Claessens, Stijn ; McGuire, Patrick
Series: Working Paper No. 11/222
Published: September 1, 2011
Subject(s): Bank credit | Banking systems | Credit risk | Data collection | Financial risk | International banking | International financial system
Author's keyword(s):
Systemic risks; banking system | international | contagion | vulnerabilities
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14. |
Title:
Systemic Risk and Optimal Regulatory Architecture
Author/Editor: Espinosa-Vega, Marco A ; Kahn, Charles ; Matta, Rafael ; Sole, Juan
Series: Working Paper No. 11/193
Published: August 1, 2011
Subject(s): Bank regulations | Banks | Economic models | External shocks | Financial institutions | Financial risk | Liquidity
Author's keyword(s):
Bank regulation; Systemic risk; Forbearance; Information sharing; Financial reform.
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15. |
Title:
The Impact of the Global Financial Crisis on Microfinance and Policy Implications
Author/Editor: Di Bella, Gabriel
Series: Working Paper No. 11/175
Published: July 1, 2011
Subject(s): Global Financial Crisis 2008-2009 | Economic conditions | International capital markets | Interest rates on loans | Credit risk | Microfinance
Author's keyword(s):
global financial crisis | systemic risk | microfinance | lending rate fundamentals
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16. |
Title:
Country Insurance Using Financial Instruments
Author/Editor: Zhang, Yuanyan Sophia ; Chamon, Marcos ; Ricci, Luca Antonio
Series: Working Paper No. 11/169
Published: July 1, 2011
Subject(s): Cross country analysis | Economic models | Emerging markets | External shocks | Financial instruments | Insurance | Risk management
Author's keyword(s):
hedging | financial innovation | country insurance | contagion | sudden stop | systemic risks
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17. |
Title:
Fat Tails and their (Un)happy Endings: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
Author/Editor: Chan-Lau, Jorge A. ; International Monetary Fund
Series: Working Paper No. 11/82
Published: April 1, 2011
Subject(s): Asset management | Bank supervision | Banks | Corporate governance | Economic models | Financial institutions | Financial risk | Risk management
Author's keyword(s):
Basel III | correlation bias | copula capital structure model | corporate governance | prudential regulation | systemic risk.
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18. |
Title:
A network analysis of global banking:1978-2009
Author/Editor: Minoiu, Camelia ; Reyes, Javier A.
Series: Working Paper No. 11/74
Published: April 1, 2011
Subject(s): Banking crisis | Capital flows | Cross country analysis | Emerging markets | Financial crisis | International banking
Author's keyword(s):
cross-border bank lending | network analysis | interconnectedness | financial crises | systemic risk
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19. |
Title:
A New Index of Currency Mismatch and Systemic Risk
Author/Editor: Ranciere, Romain ; Tornell, Aaron ; Vamvakidis, Athanasios
Series: Working Paper No. 10/263
Published: November 1, 2010
Subject(s): Banking sector | Cross country analysis | Currencies | Economic models | Emerging markets | Europe | External borrowing | Financial crisis | Fiscal risk | Loans | Sovereign debt | Time series
Author's keyword(s):
Currency Mismatch | Emerging Economies | Systemic Risk | Financial Crises.
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20. |
Title:
Macroprudential Regulation under Repo Funding
Author/Editor: Valderrama, Laura
Series: Working Paper No. 10/220
Published: September 1, 2010
Subject(s): Bank regulations | Bankruptcy | Capital | Economic models | Financial institutions | Financial risk | International financial system | Liquidity
Author's keyword(s):
Repurchase Agreement; Haircut; Margin Call; Liquidity Hoarding; Systemic Risk; Financial Contagion; Macroprudential Regulation.
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