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Author Blancher, Nicolas R.
Title Systemic Risk Monitoring ("SysMo") toolkit -- a user guide / Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, and Laura Valderrama.
Imprint [Place of publication not identified] : International Monetary Fund, 2013.

Series IMF Working Papers, 2227-8885 ; Working Paper No. 13/168
IMF Working Papers ; Working Paper no. 13/168.
Subject Financial risk management.
IMF Working Papers ; Working Paper no. 13/168.
Subject Financial risk management.
Description 1 online resource.
Bibliography Note Includes bibliographical references.
Contents Cover; Contents; Glossary; B; C; D; E; F; G; J; K; L; M; O; P; S; V; I. Introduction; II. Approaching Systemic Risk; A. What is Systemic Risk?; B. Key Features of the Toolkit; III. Mapping Tools to the Territory-A Practical Approach; A. Financial institutions: Is Excessive Risk Building Up in Financial Institutions?; B. Asset Prices: Are Asset Prices Growing Too Fast?; C. Sovereign Risk: How Much is Sovereign Risk a Source of Systemic Risk?; D. Broader Economy: What are the Amplification Channels among Sectors and through the Domestic Economy?
E. Cross-Border Linkages: What are the Amplification Channels through Cross-Border Spillovers?F. Crisis Risks: What is the Probability of a Systemic Crisis?; IV. Sample Country Case Study; V. Key Findings and Operational Implications; Referrences; Table; 1. Characteristics of Different Systemic Risk Monitoring tools-A Summary; Figures; 1. Structure of the Guide; 2. Buildup of Systemic Risk: Sources and Channels; 3. Unwinding of Systemic Risk: Sources and Channels; 4. Systemic Risk Dashboard for a Fictitious Country X at end-2007; Appendix: Tools Binder; Contents.
I. Conditional Value-At-Risk (CoVaR)II. Joint Distress Indicators; III. Returns Spillovers; IV. Distress Spillovers; V. Market-Based Probability of Default; VI. Debt Sustainability Analysis (DSA); VII. Indicators of Fiscal Stress; VIII. Sovereign Funding Shock Scenarios; IX. Asset Price Models; X. Balance Sheet Approach; XI. Systemic CCA; XII. Cross-Border Interconnectedness; XIII. Cross-border Network Contagion; XIV. Systemic Liquidity Risk Indicator; XV. Regime-Switching Volatility Model; XVI. Financial Soundness Indicators (FSIs); XVII. Bank Health Assessment Tool (HEAT).
XVIII. Thresholds ModelXIX. Macro Stress Tests; XX. GDP at Risk; XXI. Credit to GDP-Based Crisis Prediction Model; XXII. Crisis Prediction Models; XXIII. DSGE Model.
Note Print version record.
ISBN 1299804098 (electronic bk.)
9781299804098 (electronic bk.)
9781484349281 (electronic bk.)
1484349288 (electronic bk.)
ISBN/ISSN 10.5089/9781484349281.001
OCLC # 856625996
Additional Format Print version: 9781299804098