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Author Cortes, Fabio, author

Title A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN) / Fabio Cortes
Published [Washington, D.C.] : International Monetary Fund, [2018]
©2018

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Description 1 online resource (53 pages)
Series IMF Working Paper ; WP/18/14
IMF working paper ; WP/18/14.
Contents Cover; Contents; Glossary; I. Introduction; II. Channels of Interconnectedness; A. Investment Funds; B. Hedge Fund Sector; C. Insurance Sector; D. Pension Funds; III. SyRIN: A Comprehensive Multi-sector Tool; A. Tail Risk Indicators; B. Interconnectedness Indicators; C. Systemic Loss Indicators; IV. A Tool for Financial Analysis; A. Implementation; B. Tool for Comprehensive Analysis; C. SyRIN: A Tool for Guiding Deeper Analysis, and Related Policy Recommendations; V. Conclusions; References; Tables; 1. Distress Dependence Matrix; Figures; 1. Asset Liquidation and Direct Exposure Channels
2. Asset Liquidation and Direct Exposure Channels3. Holdings of Nonbank Financial Institutions as of 2016; 4. US Funds as of 2016Q4; 5. Channels for Hedge Fund Distress Transmission; 6. Holdings of US Insurance Companies as of 2016Q4; 7. US Pension Fund Holdings; 8. SyRIN: A Comprehensive Multi-Sector Tool; 9. Correlation of Returns: High Yield Mutual Funds and ETFs vs. the High Yield Index; 10. PoDs Funds; 11. Systemic Risk Index; 12. Financial Stability Index; 13. Marginal Contribution to Systemic Risk as of 2013Q4; 14. Increase in MCSR
14. Contributions to Distress Vulnerability of the Banking Sector16. Contributions to Banking Sector Distress Vulnerability as of 1Q2014; 17. Contributions to Insurance Sector Distress Vulnerability; 18. Contributions to Distress Vulnerability of the Banking (left) and Insurance (right) Sectors as at January 2008 and March 2014; 19. Comparison of Systemic Risk Level with Contribution to Banking Sector Distress Vulnerability; 20. Comparing Aggregate Systemic Risk level with Contribution to Insurance Sector Distress Vulnerability
21. Accommodative Monetary Policies Have Encouraged Greater Risk-Taking22. Days Required for Full Liquidation; 23. The Rise of Passive Investment in US Equity Markets; Appendix; I. Inputs for Implementation; Appendix Tables; 1. Input Series for Portfolio Reconstruction; 2. Input Series for Total Asset Data
Summary This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation
Notes Available in PDF, ePUB, and Mobi formats on the Internet
Online resource; title from PDF title page (IMF, viewed Apr. 30, 2020)
Subject Risk assessment -- Data processing
Risk assessment -- Data processing
Dynamic Analysis.
Other.
Model Evaluation And Testing.
Mathematical Methods.
Determination of Interest Rates.
Business Fluctuations.
Form Electronic book
Author Lindner, Peter, author
Segoviano Basurto, Miguel A., author
Malik, Sheheryar, author.
International Monetary Fund.
ISBN 148433860X
9781484338605
OTHER TI IMF eLibrary