A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
IMF Working Papers, January 24, 2018
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- A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
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Bibliographic details
- Authors: Fabio Cortes, Peter Lindner, Sheheryar Malik, Miguel A. Segoviano
- Published: January 24, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484338605.001
Overview
- Presents the Systemic Risk and Interconnectedness (SyRIN) tool.
- SyRIN enables a comprehensive assessment of systemic risk by quantifying the impact of risk amplification mechanisms arising from interconnectedness across banks and other financial intermediaries—insurance, pension fund, hedge fund and investment fund sectors.
- Designed to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.
- SyRIN produces complementary metrics to evaluate systemic risk, including tail risk, cross-entity interconnectedness, and contributions to systemic risk by different entities and sectors.
Key Features & Metrics
- Quantifies impact of risk amplification mechanisms due to interconnectedness structures across multiple financial sectors.
- Produces various metrics to evaluate systemic risk from complementary perspectives:
- Tail risk
- Cross-entity interconnectedness
- Contribution to systemic risk by different entities and sectors
Implementation & Adaptability
- Easily implementable with publicly available data.
- Adaptable to different degrees of institutional granularity and data availability.
- Applicable across banks and other financial intermediaries including insurance, pension funds, hedge funds, and investment funds.
Intended Use & Policy Relevance
- Serves as a tool to identify systemic vulnerabilities from a top-down perspective.
- Intended to inform and lead to deeper, sector-specific analysis for policy formulation.
Subjects and Keywords
- Subject: Commercial banks, Financial institutions, Financial sector policy and analysis, Hedge funds, Insurance companies, Mutual funds, Systemic risk
- Keywords (as provided): asset, asset class, asset liquidation, asset liquidation channel, Commercial banks, commercial paper, Financial stability, fixed income, fund manager, Global, hedge fund, Hedge funds, illiquid assets, Insurance companies, investment company, investment company Act, liability side, margin requirement, mutual fund, mutual fund sector, mutual funds, shadow banks, spillovers, systemic risk, WP
Source: IMF Working Paper "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)" (Working Paper No. 2018/014).