Title Balance sheet network analysis of too-connected-to-fail risk in global and domestic banking systems / prepared by Jorge A. Chan-Lau

Published [Washington, D.C.] : International Monetary Fund, ©2010

Click on the following:
IMF eLibrary

Copies

Description 1 online resource (25 pages) : illustrations (some color) Series IMF working paper ; WP/10/107 IMF working paper ; WP/10/107. Contents Cover Page; Title Page; Copyright Page; Contents; I. Too-Connected-to-Fail Risk; II. Balance Sheet-Based Network Analysis; Figure 1. A digraph representation of a banking system; A. The Basic Accounting Identity; Figure 2. A simplified bank balance sheet; B. Credit Shocks; Figure 3. Credit shock; C. Funding Shocks; Figure 4. Funding shock under normal market conditions; Figure 5. Funding shock under stressed market conditions; D. Risk Transfer Shocks and Off-Balance Sheet Exposures; Figure 6. Risk transfer shock; III. Balance Sheet-Based Network Analysis in Practice A. TCTF Risk Analysis in Mature and Emerging Market Countries Banking SystemsTable 1. Global banking system: number of potential failures; Table 2. Global banking system: potential capital losses, in percent; Table 3. Global banking system: Too-Connected-to-Fail risk and vulnerability measures; B. Chile: TCTF Risk Analysis in an Advanced Emerging Market Economy; Table 4. Chile: Potential number of induced defaults; Table 5. Chile: Average capital losses, in percent; Table 6. Chile: Too-Connected-to-Fail risk and vulnerability measures; Table 7. Banking system excess capital loss, in percent IV. ConclusionsAppendix I. Graph Theory-Based Network Models; References; Footnotes Summary The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or too-connected-to-fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between individual banks in Chile, an advanced emerging market economy Bibliography Includes bibliographical references (pages 23-25) Notes English Print version record Subject Financial statements -- Chile Banks and banking -- Chile Bank failures -- Chile Risk management -- Chile Bank failures Banks and banking Financial statements Risk management Chile Form Electronic book Author International Monetary Fund. Western Hemisphere Department, issuing body. ISBN 9781452780313 1452780315 1282845934 9781282845930 145520014X 9781455200146 1462333540 9781462333547 9786612845932 6612845937 1455200662 9781455200665

  Permalink