Hidden Bibliographic Details
| Other authors / contributors: | Arsov, Ivailo.
International Monetary Fund. Monetary and Capital Markets Department.
|
|---|
| ISBN: | 9781484365991
1484365992
9781484343784
1484343786
9781484375570
1484375572
|
|---|
| Notes: | Title from PDF title page (IMF Web site, viewed May 21, 2013).
"Monetary and Capital Markets Department"--Page 2 of pdf.
"May 2013"--Page 2 of pdf.
Includes bibliographical references (pages 30-32).
|
|---|
| Summary: | "The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or tail, event. We develop such a measure and uses it to assess the performance of eleven near-term systemic risk indicators as 'early' warning of distress among top financial institutions in the United States and the euro area. Two indicators perform particularly well in both regions, and a couple of other simple indicators do well across a number of criteria. We also find that the sizes of institutions do not necessarily correspond with their contribution to spillover risk. Some practical guidance for policies is provided"--Abstract.
|
|---|
