## Banking Stability Measures

_IMF Working Papers, January 1, 2009_

## Source details

**Canonical URL:** [Banking Stability Measures](https://www.imf.org/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554/bundle-manifest.json)

## 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).*

---

## Content in this bundle

- **_wp0904**
  - [_wp0904 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2009/_wp0904.pdf.md){rel="alternate" type="text/markdown"}
  - [_wp0904 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2009/_wp0904.pdf){rel="external" type="application/pdf"}

---

_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/banking-stability-measures-22554_