Author: Ms.Enrica Detragiache
Publisher: International Monetary Fund
ISBN: 1451856717
Category : Business & Economics
Languages : en
Pages : 28

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Book Description
This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has better in-sample performance than currently available alternatives, and the monitoring system can be tailored to fit the preferences of the decision maker regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs.

Author: Aslı Demirgüç-Kunt
Publisher:
ISBN:
Category : Bank failures
Languages : en
Pages : 34

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Book Description

Author: Asli Demirgüç-Kunt
Publisher:
ISBN:
Category :
Languages : en
Pages : 46

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Book Description
A multivariate logit empirical model of banking crisis probabilities can be useful for monitoring fragility in the banking sector.Demirguuml;ccedil;-Kunt and Detragiache explore how a multivariate logit empirical model of banking crisis probabilities can be used to monitor fragility in the banking sector.The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in - sample statistics. Also, the monitoring system can be tailored to fit the preferences of the decisionmakers, and the model has better in-sample performance than currently available alternatives.Despite these advantages, the monitoring system would have missed the 1997 banking crises in Indonesia, Malaysia, and the Republic of Korea, while it would have detected some weakness in Thailand and the Philippines. It would have clearly foreseen the 1996 crisis in Jamaica.Aggregate variables can convey information about general economic conditions often associated with fragility in the banking sector but are silent about the situation at individual banks or in specific segments of the banking sector - so crises that may develop from specific weaknesses in some market segments and spread through contagion would not be detected. The econometric study of systemic banking crises is a relatively new field of study. The development and evaluation of monitoring and forecasting tools based on the results of studies such as this are at an embryonic stage at best.Demirguuml;ccedil;-Kunt and Detragiache highlight elements that need to be evaluated in developing ready-to-use procedures for decisionmakers and explore possible avenues for doing so.The monitoring system must be designed to fit the needs of policymakers, so systems must be developed as part of an interactive process involving both econometricians and decisionmakers.This paper - a product of Finance, Development Research Group - is part of a larger effort in the group to understand banking crises. The authors may be contacted at [email protected] or [email protected].

Author: Asli Demirgüç-Kunt
Publisher:
ISBN:
Category :
Languages : en
Pages : 40

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Book Description

Author: Mario Draghi
Publisher: Centre for Economic Policy Research
ISBN: 9781898128687
Category : Business & Economics
Languages : en
Pages : 100

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Book Description
Discussions of the role of derivatives and their risks, as well as discussions of financial risks in general, often fail to distinguish between risks that are taken consciously and ones that are not. To understand the breeding conditions for financial crises, the prime source of concern is not risk per se, but the unintended, or unanticipated accumulation of risks by individuals, institutions or governments including the concealing of risks from stakeholders and overseers of those entities. This report, the fourth in the ICMB/CEPR series of Geneva Reports on the World Economy, analyses specific situations in which significant unanticipated and unintended financial risks can accumulate. The focus is, in particular, on the implicit guarantees that governments extend to banks and other financial institutions, and which may result in the accumulation, often unrecognised from the viewpoint of the government, of unanticipated risks in the balance sheet of the public sector. that a government's exposure to risk arising from a guarantee is non-linear. For instance, in the case of a government which guarantees the liabilities of the banking system, the additional liability transferred onto the government's balance sheet by a 10% shock to the capital of firms is larger the lower that capital is to start with. Recognising this non-linearity in the transmission of risk exposures is essential to the reduction of the accumulation of unanticipated risks on the government's balance sheet. Analyses of recent international financial crises recognise that the implicit guarantees governments extend to banks and corporations create the potential to greatly weaken their balance sheets. exist, rather than on measurement of the exposures they create. This report offers just such a framework for measuring the extent of a government's exposure to risk and how that exposure changes over time. The report also discusses ideas on how risk exposures can be controlled, hedged and transferred through the use of derivatives, swap contracts, and other contractual agreements.

Author: Éric Tymoigne
Publisher: Routledge
ISBN: 1135976732
Category : Business & Economics
Languages : en
Pages : 337

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Book Description
In this book Tymoigne argues that financial stability should be the sole goal of central banks and suggests an alternative to the inflation targeting framework showing how interest-rate policy can help to solve some of the problems faced by central bankers.

Author: Tobias Adrian
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.

Author: Ms.Brenda Gonzalez-Hermosillo
Publisher: International Monetary Fund
ISBN: 1451927533
Category : Business & Economics
Languages : en
Pages : 26

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Book Description
This paper tests empirically the proposition that bank fragility is determined by bank-specific factors, macroeconomic conditions and potential contagion effects. The methodology allows for the variables that determine bank failure to differ from those that influence banks’ time to failure (or survival rate). Based on the indicators of fragility of individual banks, we construct an index of fragility for the banking system. The framework is applied to the Mexican financial crisis beginning in 1994. In the case of Mexico, bank-specific variables as well as contagion effects explain the likelihood of bank failure, while macroeconomic variables largely determine the timing of failure.

Author: Richard M. Levich
Publisher: Springer Science & Business Media
ISBN: 1461509998
Category : Business & Economics
Languages : en
Pages : 380

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Book Description
Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.

Author: G.G. Kaufman
Publisher: Elsevier
ISBN: 9780762306985
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
Focuses on problems in banking that have the potential not only for disrupting the smooth provision of banking and other financial services, but also for adversely affecting domestic and even international macroeconomic activity. This work talks about fragility and regulation in different countries.