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180614 ||| eng |
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|a 9781484345344
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| 100 |
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|a Alla, Zineddine
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| 245 |
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|a Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
|c Zineddine Alla, Raphael Espinoza, Qiaoluan Li, Miguel Segoviano
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2018
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| 300 |
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|a 45 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Asset requirements
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| 653 |
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|a Financial contagion
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| 653 |
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|a Banks
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| 653 |
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|a Asset valuation
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| 653 |
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|a Finance
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| 653 |
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|a Banks and banking
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| 653 |
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|a Financial sector policy and analysis
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| 653 |
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|a General Financial Markets: Government Policy and Regulation
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Financial Institutions and Services: Government Policy and Regulation
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| 653 |
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|a Asset and liability management
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| 653 |
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|a Mortgages
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| 653 |
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|a International Financial Markets
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| 653 |
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|a Systemic risk
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| 653 |
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|a Financial risk management
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Asset-liability management
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| 653 |
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|a Financial Markets and the Macroeconomy
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| 653 |
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|a Financial regulation and supervision
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| 653 |
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|a Banking
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| 653 |
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|a Financial Risk Management
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| 653 |
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|a Financial services law & regulation
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| 653 |
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|a Finance: General
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| 653 |
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|a Countercyclical capital buffers
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| 653 |
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|a Stress testing
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| 653 |
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|a Financial Crises
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| 700 |
1 |
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|a Espinoza, Raphael
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| 700 |
1 |
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|a Li, Qiaoluan
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| 700 |
1 |
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|a Segoviano, Miguel
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781484345344.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2018/049/001.2018.issue-049-en.xml?cid=45691-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities’ probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets’ perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers’ default
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