Contingent Liabilities from Banks: How to Track Them?
IMF Working Papers, December 9, 2015
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Bibliographic details
- Authors: Serkan Arslanalp, Yin Liao
- Published: December 9, 2015
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513568560.001
Methodology
- Develops a methodology to assess potential losses to the government that could arise from bank failures.
- Approach objectives: simple, parsimonious, and usable in real time.
- Produces an index called the banking sector contingent liability index (BCLI).
Index construction and components
- BCLI is based on the following banking-sector attributes:
- size
- concentration
- diversification
- leverage
- riskiness of assets
Illustration and sample
- The index is illustrated for 32 advanced and emerging market economies.
- Time coverage of the illustration: 2006 to 2013.
- Also illustrated for a group of banks including global systemically important banks (G-SIBs).
Subjects and keywords
- 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
Summary of contributions
- Provides a real-time, parsimonious indicator (BCLI) to monitor government exposure to contingent liabilities from banks.
- Combines structural banking-sector characteristics into a single index for cross-country and cross-bank comparison.
- Demonstrates application across a broad sample of economies and a set of G-SIBs for the period 2006–2013.
Source: IMF Working Paper "Contingent Liabilities from Banks: How to Track Them?", Serkan Arslanalp and Yin Liao, Working Paper No. 2015/255.