|
|
|
|
| LEADER |
03511nmm a2200721 u 4500 |
| 001 |
EB000924382 |
| 003 |
EBX01000000000000000717978 |
| 005 |
00000000000000.0 |
| 007 |
cr||||||||||||||||||||| |
| 008 |
150128 ||| eng |
| 020 |
|
|
|a 9781475572780
|
| 100 |
1 |
|
|a Jobst, Andreas
|
| 245 |
0 |
0 |
|a Systemic Contingent Claims Analysis
|b Estimating Market-Implied Systemic Risk
|c Andreas Jobst, Dale Gray
|
| 260 |
|
|
|a Washington, D.C.
|b International Monetary Fund
|c 2013
|
| 300 |
|
|
|a 93 pages
|
| 651 |
|
4 |
|a United States
|
| 653 |
|
|
|a Finance, Public
|
| 653 |
|
|
|a Public Administration
|
| 653 |
|
|
|a Banks
|
| 653 |
|
|
|a Finance
|
| 653 |
|
|
|a Asset valuation
|
| 653 |
|
|
|a Public finance & taxation
|
| 653 |
|
|
|a Option pricing
|
| 653 |
|
|
|a Financial statements
|
| 653 |
|
|
|a Financial sector policy and analysis
|
| 653 |
|
|
|a Exports and Imports
|
| 653 |
|
|
|a Specific Distributions
|
| 653 |
|
|
|a Mortgages
|
| 653 |
|
|
|a International Lending and Debt Problems
|
| 653 |
|
|
|a External debt
|
| 653 |
|
|
|a Model Construction and Estimation
|
| 653 |
|
|
|a International Financial Markets
|
| 653 |
|
|
|a Futures Pricing
|
| 653 |
|
|
|a Systemic risk
|
| 653 |
|
|
|a Financial risk management
|
| 653 |
|
|
|a Accounting
|
| 653 |
|
|
|a Contingent liabilities
|
| 653 |
|
|
|a Public Sector Accounting and Audits
|
| 653 |
|
|
|a Asset-liability management
|
| 653 |
|
|
|a Public financial management (PFM)
|
| 653 |
|
|
|a Financial reporting, financial statements
|
| 653 |
|
|
|a Financial Risk Management
|
| 653 |
|
|
|a Depository Institutions
|
| 653 |
|
|
|a Contingent Pricing
|
| 653 |
|
|
|a General Financial Markets: Government Policy and Regulation
|
| 653 |
|
|
|a Micro Finance Institutions
|
| 653 |
|
|
|a Financial Institutions and Services: Government Policy and Regulation
|
| 653 |
|
|
|a Fiscal policy
|
| 653 |
|
|
|a Asset and liability management
|
| 653 |
|
|
|a International economics
|
| 653 |
|
|
|a Debts, External
|
| 653 |
|
|
|a Public Finance
|
| 653 |
|
|
|a Finance: General
|
| 653 |
|
|
|a Debt default
|
| 653 |
|
|
|a Financial Crises
|
| 700 |
1 |
|
|a Gray, Dale
|
| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
|
| 989 |
|
|
|b IMF
|a International Monetary Fund
|
| 490 |
0 |
|
|a IMF Working Papers
|
| 028 |
5 |
0 |
|a 10.5089/9781475572780.001
|
| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2013/054/001.2013.issue-054-en.xml?cid=40356-com-dsp-marc
|x Verlag
|3 Volltext
|
| 082 |
0 |
|
|a 330
|
| 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
|