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 syst...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Körperschaft: | |
| 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 |
| 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."--Abstract. |
| Beschreibung: | "February 2013." |
| Beschreibung: | 1 online resource (93 pages). |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781557755018 1557755019 |
Internformat
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| 100 | 1 | |a Jobst, Andreas, |e author. |0 http://id.loc.gov/authorities/names/no2007013851 | |
| 245 | 1 | 0 | |a Systemic contingent claims analysis : |b estimating market-implied systemic risk / |c Andreas A. Jobst and Dale F. Gray. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, Monetary and Capital Markets Dept., |c 2013. | ||
| 300 | |a 1 online resource (93 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper ; |v WP/13/54 | |
| 500 | |a "February 2013." | ||
| 504 | |a Includes bibliographical references. | ||
| 520 | |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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector. | |
| 505 | 8 | |a 2. Interaction and Feedback between the Sovereign and Financial Sector Balance Sheets Using the Systemic CCA Framework3. Integrated Market-based Capital Assessment Using CCA and Systemic CCA; 3. The Importance of Distributions and Dependence in Stress Testing; 4. Key Conceptual Differences in Loss Measurements; IV. Empirical Application: Systemic Risk from Expected Losses and Contingent Liabilities in the U.S. Financial System; 5. United States: Financial Sector -- Time Pattern of the Alpha-Value. | |
| 505 | 8 | |a 6. United States: Systemic CCA Estimates of Market-Implied Total Contingent Liabilities and Multivariate Density of Contingent Liabilities7. United States: Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); 6. United States: Systemic CCA Estimates of Market-Implied Average Individual Contribution to Systemic Risk from Contingent Liabilities; 8. United States: Decomposition of Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); V. Empirical Application: Stress Testing Systemic Risk from Expected Losses in the U.K. Banking Sector. | |
| 505 | 8 | |a 7. United States: Systemic CCA Estimates of Market-Implied Fair Value Surcharge for Systemic Risk based on Total Contingent Liabilities9. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on CCA-derived Estimates of Expected Losses; 10. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on Systemic CCA-derived Estimates of Joint Expected Losses; 11. United Kingdom: Integration of the RAMSI and Systemic CCA Models based on Common Specification of Macro-Financial Linkages. | |
| 505 | 8 | |a 12. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Capital Losses from the U.K. FSAP Update Top-Down Stress Tests8. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Potential Capital Loss; 9. United Kingdom: Systemic CCA Estimates of Market-Implied Individual Contributions of Sample Banks to Systemic Risk-Market-Implied Joint Capital Loss; VI. Conclusion; References; Appendices; 1. Standard Definition of Contingent Claims Analysis (CCA); 2. Estimation of the Empirical State Price Density (SPD). | |
| 650 | 0 | |a Financial crises. | |
| 650 | 0 | |a Risk management. |0 http://id.loc.gov/authorities/subjects/sh85114200 | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
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| 700 | 1 | |a Gray, Dale F., |e author. | |
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| 758 | |i has work: |a Systemic contingent claims analysis (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGvMXjkYJBXBHTtWmGmYbm |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Jobst, Andreas. |t Systemic contingent claims analysis. |d Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2013 |z 9781475572780 |w (OCoLC)828662906 |
| 830 | 0 | |a IMF working paper ; |v WP/13/54. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| author | Jobst, Andreas Gray, Dale F. |
| author_GND | http://id.loc.gov/authorities/names/no2007013851 |
| author_corporate | International Monetary Fund. Monetary and Capital Markets Department |
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| author_facet | Jobst, Andreas Gray, Dale F. International Monetary Fund. Monetary and Capital Markets Department |
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| contents | Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector. 2. Interaction and Feedback between the Sovereign and Financial Sector Balance Sheets Using the Systemic CCA Framework3. Integrated Market-based Capital Assessment Using CCA and Systemic CCA; 3. The Importance of Distributions and Dependence in Stress Testing; 4. Key Conceptual Differences in Loss Measurements; IV. Empirical Application: Systemic Risk from Expected Losses and Contingent Liabilities in the U.S. Financial System; 5. United States: Financial Sector -- Time Pattern of the Alpha-Value. 6. United States: Systemic CCA Estimates of Market-Implied Total Contingent Liabilities and Multivariate Density of Contingent Liabilities7. United States: Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); 6. United States: Systemic CCA Estimates of Market-Implied Average Individual Contribution to Systemic Risk from Contingent Liabilities; 8. United States: Decomposition of Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); V. Empirical Application: Stress Testing Systemic Risk from Expected Losses in the U.K. Banking Sector. 7. United States: Systemic CCA Estimates of Market-Implied Fair Value Surcharge for Systemic Risk based on Total Contingent Liabilities9. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on CCA-derived Estimates of Expected Losses; 10. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on Systemic CCA-derived Estimates of Joint Expected Losses; 11. United Kingdom: Integration of the RAMSI and Systemic CCA Models based on Common Specification of Macro-Financial Linkages. 12. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Capital Losses from the U.K. FSAP Update Top-Down Stress Tests8. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Potential Capital Loss; 9. United Kingdom: Systemic CCA Estimates of Market-Implied Individual Contributions of Sample Banks to Systemic Risk-Market-Implied Joint Capital Loss; VI. Conclusion; References; Appendices; 1. Standard Definition of Contingent Claims Analysis (CCA); 2. Estimation of the Empirical State Price Density (SPD). |
| ctrlnum | (OCoLC)840484211 |
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| 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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| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:09Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no2006113696 |
| isbn | 9781557755018 1557755019 |
| language | English |
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| series2 | IMF working paper ; |
| spelling | Jobst, Andreas, author. http://id.loc.gov/authorities/names/no2007013851 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 resource (93 pages). text txt rdacontent computer c rdamedia online resource 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. Print version record. Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector. 2. Interaction and Feedback between the Sovereign and Financial Sector Balance Sheets Using the Systemic CCA Framework3. Integrated Market-based Capital Assessment Using CCA and Systemic CCA; 3. The Importance of Distributions and Dependence in Stress Testing; 4. Key Conceptual Differences in Loss Measurements; IV. Empirical Application: Systemic Risk from Expected Losses and Contingent Liabilities in the U.S. Financial System; 5. United States: Financial Sector -- Time Pattern of the Alpha-Value. 6. United States: Systemic CCA Estimates of Market-Implied Total Contingent Liabilities and Multivariate Density of Contingent Liabilities7. United States: Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); 6. United States: Systemic CCA Estimates of Market-Implied Average Individual Contribution to Systemic Risk from Contingent Liabilities; 8. United States: Decomposition of Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); V. Empirical Application: Stress Testing Systemic Risk from Expected Losses in the U.K. Banking Sector. 7. United States: Systemic CCA Estimates of Market-Implied Fair Value Surcharge for Systemic Risk based on Total Contingent Liabilities9. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on CCA-derived Estimates of Expected Losses; 10. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on Systemic CCA-derived Estimates of Joint Expected Losses; 11. United Kingdom: Integration of the RAMSI and Systemic CCA Models based on Common Specification of Macro-Financial Linkages. 12. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Capital Losses from the U.K. FSAP Update Top-Down Stress Tests8. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Potential Capital Loss; 9. United Kingdom: Systemic CCA Estimates of Market-Implied Individual Contributions of Sample Banks to Systemic Risk-Market-Implied Joint Capital Loss; VI. Conclusion; References; Appendices; 1. Standard Definition of Contingent Claims Analysis (CCA); 2. Estimation of the Empirical State Price Density (SPD). Financial crises. Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Gestion du risque. risk management. aat BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Financial crises fast Risk management fast Gray, Dale F., author. International Monetary Fund. Monetary and Capital Markets Department. http://id.loc.gov/authorities/names/no2006113696 has work: Systemic contingent claims analysis (Text) https://id.oclc.org/worldcat/entity/E39PCGvMXjkYJBXBHTtWmGmYbm https://id.oclc.org/worldcat/ontology/hasWork Print version: Jobst, Andreas. Systemic contingent claims analysis. Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2013 9781475572780 (OCoLC)828662906 IMF working paper ; WP/13/54. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=561206 Volltext |
| spellingShingle | Jobst, Andreas Gray, Dale F. Systemic contingent claims analysis : estimating market-implied systemic risk / IMF working paper ; Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector. 2. Interaction and Feedback between the Sovereign and Financial Sector Balance Sheets Using the Systemic CCA Framework3. Integrated Market-based Capital Assessment Using CCA and Systemic CCA; 3. The Importance of Distributions and Dependence in Stress Testing; 4. Key Conceptual Differences in Loss Measurements; IV. Empirical Application: Systemic Risk from Expected Losses and Contingent Liabilities in the U.S. Financial System; 5. United States: Financial Sector -- Time Pattern of the Alpha-Value. 6. United States: Systemic CCA Estimates of Market-Implied Total Contingent Liabilities and Multivariate Density of Contingent Liabilities7. United States: Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); 6. United States: Systemic CCA Estimates of Market-Implied Average Individual Contribution to Systemic Risk from Contingent Liabilities; 8. United States: Decomposition of Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); V. Empirical Application: Stress Testing Systemic Risk from Expected Losses in the U.K. Banking Sector. 7. United States: Systemic CCA Estimates of Market-Implied Fair Value Surcharge for Systemic Risk based on Total Contingent Liabilities9. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on CCA-derived Estimates of Expected Losses; 10. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on Systemic CCA-derived Estimates of Joint Expected Losses; 11. United Kingdom: Integration of the RAMSI and Systemic CCA Models based on Common Specification of Macro-Financial Linkages. 12. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Capital Losses from the U.K. FSAP Update Top-Down Stress Tests8. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Potential Capital Loss; 9. United Kingdom: Systemic CCA Estimates of Market-Implied Individual Contributions of Sample Banks to Systemic Risk-Market-Implied Joint Capital Loss; VI. Conclusion; References; Appendices; 1. Standard Definition of Contingent Claims Analysis (CCA); 2. Estimation of the Empirical State Price Density (SPD). Financial crises. Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Gestion du risque. risk management. aat BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Financial crises fast Risk management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85114200 |
| 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 | Financial crises. Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Gestion du risque. risk management. aat BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Financial crises fast Risk management fast |
| topic_facet | Financial crises. Risk management. Gestion du risque. risk management. BUSINESS & ECONOMICS Economics Microeconomics. Financial crises Risk management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=561206 |
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