Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a lar...
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| Corporate Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2012
|
| Series: | IMF Working Papers
Working Paper No. 12/46 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee''s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk |
| Physical Description: | 1 Online-Ressource (36 p) |
| ISBN: | 1463936478 9781463936471 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:18Z |
| indexdate | 2024-07-10T09:35:25Z |
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| spelling | International Monetary Fund Verfasser aut Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach Washington, D.C International Monetary Fund 2012 1 Online-Ressource (36 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/46 In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee''s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk Online-Ausg International Monetary Fund Sonstige oth http://elibrary.imf.org/view/IMF001/12633-9781463936471/12633-9781463936471/12633-9781463936471.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_auth | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_exact_search | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_exact_search_txtP | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_full | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_fullStr | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_full_unstemmed | Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach |
| title_short | Short-Term Wholesale Funding and Systemic Risk |
| title_sort | short term wholesale funding and systemic risk a global covar approach |
| title_sub | A Global Covar Approach |
| url | http://elibrary.imf.org/view/IMF001/12633-9781463936471/12633-9781463936471/12633-9781463936471.xml |
| work_keys_str_mv | AT internationalmonetaryfund shorttermwholesalefundingandsystemicriskaglobalcovarapproach |