{
  "title": "Banking Stability Measures",
  "publication": "IMF Working Papers, January 1, 2009",
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  "summary": "This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distre",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Defines a set of banking stability measures that account for distress dependence among banks in a system.\n- Allows measurement of:\n  - (i) common distress of the banks in a system,\n  - (ii) distress between specific banks, and\n  - (iii) distress in the system associated with a specific bank.\n- Treats the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated.\n- BSMD embeds the banks' default inter-dependence structure, capturing linear and non-linear distress dependencies and their changes across the economic cycle.\n- BSMD is recovered using the CIMDO-approach, which in the presence of restricted data improves density specification without explicitly imposing parametric forms.\n- 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."
    },
    {
      "heading": "Methodology",
      "content": "- Portfolio perspective: banking system defined as a portfolio of banks.\n- Multivariate density: system's multivariate density (BSMD) inferred and used to estimate measures.\n- Dependence capture: BSMD captures linear and non-linear distress dependencies among banks and their evolution over the economic cycle.\n- CIMDO-approach:\n  - New approach used to recover the BSMD.\n  - Improves density specification under restricted data conditions.\n  - Avoids explicitly imposing parametric forms that are difficult to model with limited data."
    },
    {
      "heading": "Measures and Analytical Perspectives",
      "content": "- Measures enable complementary perspectives on stability by quantifying:\n  - Common distress across the banking system.\n  - Pairwise distress dependence between specific banks.\n  - System-wide distress associated with an individual bank."
    },
    {
      "heading": "Data Requirements and Applicability",
      "content": "- Can be constructed from a very limited set of publicly available data.\n- Suitable for a wide range of both developing and developed countries.\n- Designed to work under restricted data availability through the CIMDO-approach."
    },
    {
      "heading": "Publication and Metadata",
      "content": "- Authors: C. A. E. Goodhart, Miguel A. Segoviano\n- Date: January 1, 2009\n- Series: Working Paper No. 2009/004\n- Issue: 004\n- Volume: 2009\n- Pages: 54\n- DOI: https://doi.org/10.5089/9781451871517.001\n- Stock No: WPIEA2009004\n- ISBN: 9781451871517\n- ISSN: 1018-5941\n- 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\n\nSource: IMF Working Paper \"Banking Stability Measures\" by C. A. E. Goodhart and Miguel A. Segoviano, January 1, 2009 (Working Paper No. 2009/004).\n\n---\n\n Content in this bundle\n\n- wp0904\n  - wp0904 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp0904 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554"
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    "Authors: C. A. E. Goodhart, Miguel A. Segoviano",
    "Published: January 1, 2009",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451871517.001",
    "Defines a set of banking stability measures that account for distress dependence among banks in a system.",
    "Allows measurement of:",
    "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.",
    "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:",
    "Measures enable complementary perspectives on stability by quantifying:",
    "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.",
    "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",
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