Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk
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 l...
Gespeichert in:
| 1. Verfasser: | |
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| 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. 13/54 |
| 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 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 |
| Beschreibung: | 1 Online-Ressource (93 p) |
| ISBN: | 1475572786 9781475572780 |
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| index_date | 2024-07-03T20:13:15Z |
| indexdate | 2024-07-10T09:35:23Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Jobst, Andreas A. Verfasser aut Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk Jobst, Andreas A Washington, D.C International Monetary Fund 2013 1 Online-Ressource (93 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/54 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 Online-Ausg Gray, Dale F. Sonstige oth http://elibrary.imf.org/view/IMF001/20309-9781475572780/20309-9781475572780/20309-9781475572780.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Jobst, Andreas A. Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk |
| 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_exact_search_txtP | Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk |
| title_full | Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk Jobst, Andreas A |
| title_fullStr | Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk Jobst, Andreas A |
| title_full_unstemmed | Systemic Contingent Claims Analysis Estimating Market-Implied Systemic Risk Jobst, Andreas A |
| title_short | Systemic Contingent Claims Analysis |
| title_sort | systemic contingent claims analysis estimating market implied systemic risk |
| title_sub | Estimating Market-Implied Systemic Risk |
| url | http://elibrary.imf.org/view/IMF001/20309-9781475572780/20309-9781475572780/20309-9781475572780.xml |
| work_keys_str_mv | AT jobstandreasa systemiccontingentclaimsanalysisestimatingmarketimpliedsystemicrisk AT graydalef systemiccontingentclaimsanalysisestimatingmarketimpliedsystemicrisk |