Systemic contingent claims analysis: estimating market-implied systemic risk
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C.
International Monetary Fund, Monetary and Capital Markets Dept.
2013
|
| Schriftenreihe: | IMF working paper
WP/13/54 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | "February 2013." Includes bibliographical references "The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ('Systemic CCA') to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress."--Abstract |
| Beschreibung: | 1 Online-Ressource (93 pages) |
| ISBN: | 9781557755018 1557755019 |
Internformat
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| 500 | |a "February 2013." | ||
| 500 | |a Includes bibliographical references | ||
| 500 | |a "The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ('Systemic CCA') to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress."--Abstract | ||
| 650 | 4 | |a Systemic risk | |
| 650 | 4 | |a Financial stability | |
| 650 | 4 | |a Stress testing | |
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| 650 | 7 | |a Risk management |2 fast | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Financial crises | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
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| any_adam_object | |
| author | Jobst, Andreas |
| author_facet | Jobst, Andreas |
| author_role | aut |
| author_sort | Jobst, Andreas |
| author_variant | a j aj |
| building | Verbundindex |
| bvnumber | BV042962761 |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 338 - Production |
| dewey-raw | 338.542 |
| dewey-search | 338.542 |
| dewey-sort | 3338.542 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042962761 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:52Z |
| institution | BVB |
| isbn | 9781557755018 1557755019 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028388627 |
| oclc_num | 840484211 |
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| physical | 1 Online-Ressource (93 pages) |
| psigel | ZDB-4-EBU FLA_PDA_EBU |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | International Monetary Fund, Monetary and Capital Markets Dept. |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Jobst, Andreas Verfasser aut Systemic contingent claims analysis estimating market-implied systemic risk Andreas A. Jobst and Dale F. Gray Washington, D.C. International Monetary Fund, Monetary and Capital Markets Dept. 2013 1 Online-Ressource (93 pages) txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/13/54 "February 2013." Includes bibliographical references "The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ('Systemic CCA') to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress."--Abstract Systemic risk Financial stability Stress testing BUSINESS & ECONOMICS / Economics / Microeconomics bisacsh Financial crises fast Risk management fast Wirtschaft Financial crises Risk management Gray, Dale F. Sonstige oth International Monetary Fund Monetary and Capital Markets Department Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=561206 Aggregator Volltext |
| spellingShingle | Jobst, Andreas Systemic contingent claims analysis estimating market-implied systemic risk Systemic risk Financial stability Stress testing BUSINESS & ECONOMICS / Economics / Microeconomics bisacsh Financial crises fast Risk management fast Wirtschaft Financial crises Risk management |
| title | Systemic contingent claims analysis estimating market-implied systemic risk |
| title_auth | Systemic contingent claims analysis estimating market-implied systemic risk |
| title_exact_search | Systemic contingent claims analysis estimating market-implied systemic risk |
| title_full | Systemic contingent claims analysis estimating market-implied systemic risk Andreas A. Jobst and Dale F. Gray |
| title_fullStr | Systemic contingent claims analysis estimating market-implied systemic risk Andreas A. Jobst and Dale F. Gray |
| title_full_unstemmed | Systemic contingent claims analysis estimating market-implied systemic risk Andreas A. Jobst and Dale F. Gray |
| title_short | Systemic contingent claims analysis |
| title_sort | systemic contingent claims analysis estimating market implied systemic risk |
| title_sub | estimating market-implied systemic risk |
| topic | Systemic risk Financial stability Stress testing BUSINESS & ECONOMICS / Economics / Microeconomics bisacsh Financial crises fast Risk management fast Wirtschaft Financial crises Risk management |
| topic_facet | Systemic risk Financial stability Stress testing BUSINESS & ECONOMICS / Economics / Microeconomics Financial crises Risk management Wirtschaft |
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