Contingent Liabilities from Banks: How to Track Them?
December 9, 2015
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Summary
In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on the banking sector’s size, concentration, diversification, leverage, and riskiness of assets. The index is illustrated for 32 advanced and emerging market economies from 2006 to 2013, as well as a group of banks including global systemically important banks (G-SIBs).
Subject: Banking, Banking crises, Commercial banks, Contingent liabilities, Financial crises, Financial institutions, Global financial crisis of 2008-2009, Public financial management (PFM)
Keywords: asset volatility, bank Distress, bank liability, bank resolutions cost, Banking crises, banking sector, Commercial banks, Contingent Liabilities, distress probability, Global, Global financial crisis of 2008-2009, Sovereign Risk, support measure, WP
Pages:
30
Volume:
2015
DOI:
Issue:
255
Series:
Working Paper No. 2015/255
Stock No:
WPIEA2015255
ISBN:
9781513568560
ISSN:
1018-5941
