Banks Joint Exposure To Market And Run Risk

Author : Alexander Copestake,Mr. Divya Kirti,Yang Liu
Publisher : International Monetary Fund
Page : 26 pages
File Size : 43,8 Mb
Release : 2023-09-22
Category : Business & Economics
ISBN : 9798400253966

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Banks’ Joint Exposure to Market and Run Risk by Alexander Copestake,Mr. Divya Kirti,Yang Liu Pdf

Recent failures of US banks highlight that large liability withdrawals can damage capital positions—i.e., that liquidity risk and solvency risk interact. A simple risk assessment for banks in a wide group of countries finds sizable exposure to this interaction. This varies significantly across banks—primarily reflecting differences in cash buffers, capitalization, securities holdings and exposure to market risk—and is highly concentrated. Vulnerability is generally greater for banks in AEs due to lower cash buffers, securities holdings and capitalization. Within AEs—unlike in EMs—larger banks are most exposed, due to greater wholesale funding and thinner capital buffers. Estimated aggregate losses are substantial in some countries, reflecting a range of recent shocks.

Author : Eduardo Levy Yeyati,Maria Soledad Martinez Peria,Sergio L. Schmukler
Publisher : World Bank Publications
Page : 49 pages
File Size : 47,7 Mb
Release : 2004
Category : Bank failures
ISBN : 8210379456XXX

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Market Discipline Under Systemic Risk by Eduardo Levy Yeyati,Maria Soledad Martinez Peria,Sergio L. Schmukler Pdf

"Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk. This paper--a product of the Finance Team, Development Research Group--is part of a larger effort in the group to study market discipline"--World Bank web site.

Author : Mr. Adrian Alter,Bashar Hlayhel,Thomas Kroen,Thomas Piontek
Publisher : International Monetary Fund
Page : 44 pages
File Size : 47,5 Mb
Release : 2024-04-05
Category : Business & Economics
ISBN : 9798400270017

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Financial Stability in a Higher-for-Longer Interest Rate Environment The Case of the Middle East and North Africa by Mr. Adrian Alter,Bashar Hlayhel,Thomas Kroen,Thomas Piontek Pdf

This paper assesses the state and resilience of corporate and banking sectors in the Middle East and North Africa (MENA) in a “higher-for-longer” interest rate environment using granular micro data to conduct the first cross-country corporate and banking sector stress tests for the MENA region. The results suggest that corporate sector debt at risk may increase sizably from 12 to 30 percent of total corporate debt. Banking systems would be broadly resilient in an adverse scenario featuring higher interest rates, corporate sector stress, and rising liquidity pressures with Tier-1 capital ratios declining by 2.3 percentage points in the Gulf Cooperation Council (GCC) countries and 4.0 percentage points in non-GCC MENA countries. In the cross-section of banks, there are pockets of vulnerabilities as banks with higher ex-ante vulnerabilities and state-owned banks suffer greater losses. While manageable, the capital losses in the adverse scenario could limit lending and adversely impact growth.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 52,9 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Jean-Pierre Fouque,Joseph A. Langsam
Publisher : Cambridge University Press
Page : 993 pages
File Size : 54,7 Mb
Release : 2013-05-23
Category : Business & Economics
ISBN : 9781107023437

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Handbook on Systemic Risk by Jean-Pierre Fouque,Joseph A. Langsam Pdf

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Author : Mark Carey,René M. Stulz
Publisher : University of Chicago Press
Page : 670 pages
File Size : 45,7 Mb
Release : 2007-11-01
Category : Business & Economics
ISBN : 9780226092980

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The Risks of Financial Institutions by Mark Carey,René M. Stulz Pdf

Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Author : Klaus Böcker,Martin Hillebrand
Publisher : Unknown
Page : 37 pages
File Size : 44,6 Mb
Release : 2008
Category : Electronic
ISBN : 3865584128

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Interaction of Market and Credit Risk by Klaus Böcker,Martin Hillebrand Pdf

Author : R. Barwell
Publisher : Springer
Page : 378 pages
File Size : 48,5 Mb
Release : 2013-05-07
Category : Business & Economics
ISBN : 9781137274465

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Macroprudential Policy by R. Barwell Pdf

The financial crisis of 2008 is probably the single most important economic event in post-war history. Macroprudential policy is the response to that crisis – a determined attempt to stabilize the financial system. This book explains why it is necessary, who will be responsible for executing this responsibility and how they will go about doing it.

Author : Richard Portes,Alexander K. Swoboda
Publisher : CUP Archive
Page : 332 pages
File Size : 42,9 Mb
Release : 1987-07-09
Category : Business & Economics
ISBN : 0521347890

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Threats to International Financial Stability by Richard Portes,Alexander K. Swoboda Pdf

This volume, based on conference organized by the International Center for Monetary and Banking Studies in association with the Centre for Economic Policy Research, brings together a leading group of economists, financial theorists, policy-makers and bankers to analyse threats to international financial stability. The potential fragility of the international financial and monetary system has been highlighted by recent international debt crises as well as by rapid financial innovation and important regulatory changes. The book examines the anatomy and propagation of international financial crises, assesses the adequacy of current regulatory and supervisory practices, and suggests measures that would help to avoid or contain financial crises. the papers, written by academics, are discussed by leading bank supervisors and regulators and by central and private bankers. The volume offers a unique combination of analytical rigour and practical relevance and will interest all those concerned with the stability of the international financial system.

Author : Yung Chul Park,Hugh Patrick
Publisher : Columbia University Press
Page : 380 pages
File Size : 48,8 Mb
Release : 2013-11-26
Category : Business & Economics
ISBN : 9780231165266

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How Finance Is Shaping the Economies of China, Japan, and Korea by Yung Chul Park,Hugh Patrick Pdf

This volume connects the evolving modern financial systems of China, Japan, and Korea to the development and growth of their economies through the first decade of the twenty-first century. It also identifies the commonalities among all three systems while taking into account their social, political, and institutional differences. Essays consider the reform of the Chinese economy since 1978, the underwhelming performance of the Japanese economy since about 1990, and the growth of the Korean economy over the past three decades. These economies engaged in rapid catch-up growth processes and share similar economic structures. While domestic forces have driven each country’s financial trajectory, international short-term financial flows have presented opportunities and challenges for all. For these countries, the nature and role of the financial system in generating real economic growth is integral, though nuanced and complex. The result is a fascinating spectrum of experiences with powerful takeaways.

Author : José Vinãls,Ceyla Pazarbasioglu,Jay Surti,Aditya Narain,Mrs.Michaela Erbenova,Mr.Julian T. S. Chow
Publisher : International Monetary Fund
Page : 27 pages
File Size : 55,7 Mb
Release : 2013-05-14
Category : Business & Economics
ISBN : 9781484340943

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Creating a Safer Financial System by José Vinãls,Ceyla Pazarbasioglu,Jay Surti,Aditya Narain,Mrs.Michaela Erbenova,Mr.Julian T. S. Chow Pdf

The U.S., the U.K., and more recently, the E.U., have proposed policy measures directly targeting complexity and business structures of banks. Unlike other, price-based reforms (e.g., Basel 3 and G-SIFI surcharges), these proposals have been developed unilaterally with material differences in scope, design and implementation schedules. This may exacerbate cross-border regulatory arbitrage and put a further burden on consolidated supervision and cross-border resolution. This paper provides an analysis of the potential implications of implementing different structural policy measures. It proposes a pragmatic and coordinated approach to development of these policies to reduce risk of regulatory arbitrage and minimize unintended consequences. In doing so, it also aims to identify a set of common policy measures that countries could adopt to re-scope bank business models and corporate structures.

Author : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 51,7 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Author : Eduardo Levy Levy-Yeyati
Publisher : Unknown
Page : 49 pages
File Size : 49,5 Mb
Release : 2016
Category : Electronic
ISBN : OCLC:1290705116

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Market Discipline Under Systemic Risk by Eduardo Levy Levy-Yeyati Pdf

Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk.This paper - a product of the Finance Team, Development Research Group - is part of a larger effort in the group to study market discipline.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 186 pages
File Size : 48,9 Mb
Release : 2011-04-13
Category : Business & Economics
ISBN : 9781616350604

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Global Financial Stability Report, April 2011 by International Monetary Fund. Monetary and Capital Markets Department Pdf

Despite ongoing economic recovery and improvements in global financial stability, structural weaknesses and vulnerabilities remain in some important financial systems. The April 2011 Global Financial Stability Report highlights how risks have changed over the past six months, traces the sources and channels of financial distress with an emphasis on sovereign risk, notes the pressures arising from capital inflows in emerging economies, and discusses policy proposals under consideration to mend the global financial system.

Author : Michael Pykhtin
Publisher : Riskbooks
Page : 399 pages
File Size : 43,5 Mb
Release : 2005-01
Category : Capital market
ISBN : 190433976X

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Counterparty Credit Risk Modelling by Michael Pykhtin Pdf

To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.