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e-book

Systemic Contingent Claims Analysis - Estimating Market-Implied Systemic Risk (Cód: 9477665)

Dale F. Gray; Andreas A. Jobst

INTERNATIONAL MONETARY FUND

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Systemic Contingent Claims Analysis - Estimating Market-Implied Systemic Risk

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Descrição

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.

Características

Peso 0.00 Kg
Produto sob encomenda Sim
Marca INTERNATIONAL MONETARY FUND
Número de Páginas 93 (aproximado)
Idioma 337
Acabamento e-book
Territorialidade Internacional
Formato Livro Digital Epub
Gratuito Não
Proteção Drm Sim
Tamanho do Arquivo 4081
Início da Venda 27/02/2013
Código do Formato Epub
Cód. Barras 9781475557534
Ano da Publicação 2013
AutorDale F. Gray; Andreas A. Jobst