Systemic contingent claims analysis : estimating market-implied systemic risk /

Systemic contingent claims analysis : estimating market-implied systemic risk /

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Bibliographic Details
Author / Creator:	Jobst, Andreas, author.
Imprint:	Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2013.
Description:	1 online resource (93 pages).
Language:	English
Series:	IMF working paper ; WP/13/54 IMF working paper ; WP/13/54.
Subject:	Financial crises. Risk management. Financial crises. Risk management. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12501817

Hidden Bibliographic Details
Other authors / contributors:	Gray, Dale F., author. International Monetary Fund. Monetary and Capital Markets Department.
ISBN:	9781557755018 1557755019
Notes:	"February 2013." Includes bibliographical references. Print version record.
Summary:	"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."--Abstract.
Other form:	Print version: Jobst, Andreas. Systemic contingent claims analysis. Washington, D.C. : International Monetary Fund, Monetary and Capital Markets Dept., 2013 9781475572780

Description
Summary:	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.
Item Description:	"February 2013."
Physical Description:	1 online resource (93 pages).
Bibliography:	Includes bibliographical references.
ISBN:	9781557755018 1557755019