Cross-border financial surveillance : a network perspective /

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Bibliographic Details
Author / Creator:	Espinosa-Vega, Marco, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2010.
Description:	1 online resource (27 pages) : color illustrations, color maps
Language:	English
Series:	IMF working paper ; WP/10/105 IMF working paper ; WP/10/105.
Subject:	Banks and banking, International -- Management. Risk management -- Econometric models. International finance -- Econometric models. Banks and banking, International -- Management. International finance -- Econometric models. Risk management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499747

Hidden Bibliographic Details
Other authors / contributors:	Solé, Juan, author. International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:	1283560631 9781283560634 9781452712710 1452712719 9781455200641 1455200646
Notes:	Includes bibliographical references (pages 23-25). Print version record.
Summary:	Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Other form:	Print version: Espinosa-Vega, Marco. Cross-border financial surveillance. [Washington, D.C.] : International Monetary Fund, ©2010

Table of Contents:

Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Network Analysis based on Interbank Exposures; II. A Simple Interbank Exposure Model; A. Network Simulations of Credit and Liquidity Shocks; 2. Effect of a Credit Shock on a Bank's Balance Sheet; 3. Effect of Credit and Funding Shock on a Bank's Balance Sheet; B. The Simulation Algorithms; C. The Data; 4. Cross-Border Claims on Immediate Borrower Basis and Ultimate Risk Basis; III. Simulation Results; A. Simulation 1: The Transmission of a Credit Shock; 1. Results for Simulation 1 (Credit Channel).
6. Number of Induced Failures2. Country-by-Country Capital Impairment; 7. Country-by-Country Vulnerability Level; 8. Contagion Path Triggered by the U.K. Failure Under the Credit Shock Scenario; B. Simulation 2: The Transmission of a Credit-plus-Funding Shock; 3. Results for Simulation 2 (Credit and Funding Channel); 4. Country-by-Country Capital Impairment (Credit and Funding Channel); C. Simulations 3 and 4: Transmission of Shocks in the Presence of Risk Transfers; 9. Number of Induced Failures-Uniform Distribution; 10. Country-by-Country Vulnerability Level-Uniform Distribution.
11. Number of Induced Failures-Biased Distribution12. Country-by-Country Vulnerability Level-Biased Distribution; IV. Concluding Remarks; Appendix I: Comparing Results Based on the IBB and the URB Datasets; References; Footnotes.

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