FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability
AbstractThis paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the market perceptions for current and future stress on financial institutions. The focus of the analysis is mainly on large, complex financial institutions (LCFIs) operating in the most advanced financial markets, MRI and CRI have also been applied to internationally active commercial banks and insurance companies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 05/232.
Date of creation: 01 Dec 2005
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-05 (All new papers)
- NEP-CFN-2006-03-05 (Corporate Finance)
- NEP-FMK-2006-03-05 (Financial Markets)
- NEP-RMG-2006-03-05 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
- Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
- Eduardo Levy Yeyati & Maria Soledad Martinez Peria & Sergio Schmukler, 2004.
"Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies,"
Business School Working Papers
systemicrisk, Universidad Torcuato Di Tella.
- Sergio L. Schmukler & Eduardo Levy-Yeyati & Maria Soledad Martinez Peria, 2004. "Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies," Econometric Society 2004 Latin American Meetings 318, Econometric Society.
- Levy-Yeyati, Eduardo & Martinez Peria, Maria Soledad & Schmukler, Sergio L., 2004. "Market discipline under systemic risk - evidence from bank runs in emerging economies," Policy Research Working Paper Series 3440, The World Bank.
- Lisa M. DeFerrari & David E. Palmer, 2001. "Supervision of large complex banking organizations," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Feb, pages 47-57.
- Michael S. Gibson, 2004. "Understanding the risk of synthetic CDOs," Finance and Economics Discussion Series 2004-36, Board of Governors of the Federal Reserve System (U.S.).
- Antonio Garcia Pascual & Nada Choueiri & Ritu Basu, 2006. "Financial Sector Projections and Stress Testing in Financial Programming: A New Framework," IMF Working Papers 06/33, International Monetary Fund.
- Trichet, J.C., 2011. "Intellectual challenges to financial stability analysis in the era of macroprudential oversight," Financial Stability Review, Banque de France, issue 15, pages 139-149, February.
- Martin CIHAK, 2007. "Systemic Loss: A Measure of Financial Stability (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 5-26, March.
- Renzo G. Avesani & Jing Li & Antonio Garcia Pascual, 2006. "A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket," IMF Working Papers 06/105, International Monetary Fund.
- Renzo G. Avesani & Elina Ribakova & Antonio Garcia Pascual, 2007. "The Use of Mortgage Covered Bonds," IMF Working Papers 07/20, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.