Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR:
The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk mo...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2013
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 13/218 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk-policies including bank capital increases, purchase of sovereign debt, and guarantees |
| Beschreibung: | 1 Online-Ressource (62 p) |
| ISBN: | 1484322185 9781484322185 |
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| 100 | 1 | |a Gray, Dale F. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |c Gray, Dale F |
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| 520 | 3 | |a The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk-policies including bank capital increases, purchase of sovereign debt, and guarantees | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:14Z |
| indexdate | 2024-07-10T09:35:21Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Gray, Dale F. Verfasser aut Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Gray, Dale F Washington, D.C International Monetary Fund 2013 1 Online-Ressource (62 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/218 The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk-policies including bank capital increases, purchase of sovereign debt, and guarantees Online-Ausg http://elibrary.imf.org/view/IMF001/20864-9781484322185/20864-9781484322185/20864-9781484322185.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Gray, Dale F. Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title_auth | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title_exact_search | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title_exact_search_txtP | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title_full | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Gray, Dale F |
| title_fullStr | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Gray, Dale F |
| title_full_unstemmed | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Gray, Dale F |
| title_short | Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR |
| title_sort | modeling banking sovereign and macro risk in a cca global var |
| url | http://elibrary.imf.org/view/IMF001/20864-9781484322185/20864-9781484322185/20864-9781484322185.xml |
| work_keys_str_mv | AT graydalef modelingbankingsovereignandmacroriskinaccaglobalvar |