Actions for Short-Term Wholesale Funding and Systemic Risk [electronic resource]: A Global Covar Approach

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Short-Term Wholesale Funding and Systemic Risk [electronic resource]: A Global Covar Approach

Corporate Author
International Monetary Fund
Published
Washington : International Monetary Fund Feb. 2012
Physical Description
63 p.
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Summary
Annotation 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.
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ISBN
9781463936471
1463936478 (Trade Paper)
View MARC record | catkey: 12550143