FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability

Author/Editor:

Renzo G Avesani

Publication Date:

December 1, 2005

Electronic Access:

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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:

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the market perceptions for current and future stress on financial institutions. The focus of the analysis is mainly on large, complex financial institutions (LCFIs) operating in the most advanced financial markets, MRI and CRI have also been applied to internationally active commercial banks and insurance companies.

Series:

Working Paper No. 2005/232

Subject:

Commercial banks Credit default swap Credit risk Stress testing Vector autoregression

English

Publication Date:

December 1, 2005

ISBN/ISSN:

9781451862515/1018-5941

Stock No:

WPIEA2005232

Pages:

18

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