Banking Stability Measures
IMF Working Papers, January 1, 2009
Source details
- Canonical URL
- Banking Stability Measures
Other formats
Bibliographic details
- Authors: C. A. E. Goodhart, Miguel A. Segoviano
- Published: January 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451871517.001
Summary
- Defines a set of banking stability measures that account for distress dependence among banks in a system.
- Allows measurement of:
- (i) common distress of the banks in a system,
- (ii) distress between specific banks, and
- (iii) distress in the system associated with a specific bank.
- Treats the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated.
- BSMD embeds the banks' default inter-dependence structure, capturing linear and non-linear distress dependencies and their changes across the economic cycle.
- BSMD is recovered using the CIMDO-approach, which in the presence of restricted data improves density specification without explicitly imposing parametric forms.
- The proposed measures can be constructed from a very limited set of publicly available data and are applicable to a wide range of developing and developed countries.
Methodology
- Portfolio perspective: banking system defined as a portfolio of banks.
- Multivariate density: system's multivariate density (BSMD) inferred and used to estimate measures.
- Dependence capture: BSMD captures linear and non-linear distress dependencies among banks and their evolution over the economic cycle.
- CIMDO-approach:
- New approach used to recover the BSMD.
- Improves density specification under restricted data conditions.
- Avoids explicitly imposing parametric forms that are difficult to model with limited data.
Measures and Analytical Perspectives
- Measures enable complementary perspectives on stability by quantifying:
- Common distress across the banking system.
- Pairwise distress dependence between specific banks.
- System-wide distress associated with an individual bank.
Data Requirements and Applicability
- Can be constructed from a very limited set of publicly available data.
- Suitable for a wide range of both developing and developed countries.
- Designed to work under restricted data availability through the CIMDO-approach.
Publication and Metadata
- Authors: C. A. E. Goodhart, Miguel A. Segoviano
- Date: January 1, 2009
- Series: Working Paper No. 2009/004
- Issue: 004
- Volume: 2009
- Pages: 54
- DOI: https://doi.org/10.5089/9781451871517.001
- Stock No: WPIEA2009004
- ISBN: 9781451871517
- ISSN: 1018-5941
- Preview citation (format: Chicago): C. A. E. Goodhart, and Miguel A. Segoviano "Banking Stability Measures", IMF Working Papers 2009, 004 (2009), accessed 9/17/2026, https://doi.org/10.5089/9781451871517.001
Source: IMF Working Paper "Banking Stability Measures" by C. A. E. Goodhart and Miguel A. Segoviano, January 1, 2009 (Working Paper No. 2009/004).