Short-Term Wholesale Funding and Systemic Risk A Global Covar Approach
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a lar...
Corporate Author: | |
---|---|
Format: | eBook |
Language: | English |
Published: |
Washington, D.C.
International Monetary Fund
2012
|
Series: | IMF Working Papers
|
Online Access: | |
Collection: | International Monetary Fund - Collection details see MPG.ReNa |
Summary: | In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk |
---|---|
Physical Description: | 36 pages |
ISBN: | 9781463936471 |