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Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide

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  • Nicolas R. Blancher
  • Srobona Mitra
  • Hanan Morsy
  • Akira Otani
  • Tiago Severo
  • Laura Valderrama
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    Abstract

    There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 13/168.

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    Length: 80
    Date of creation: 17 Jul 2013
    Date of revision:
    Handle: RePEc:imf:imfwpa:13/168

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    Related research

    Keywords: Financial sector; Financial risk; Financial institutions; Spillovers; Financial crisis; Cross country analysis; Sytemic Risk; Risk Indicators; Risk Monitoring; Macroprudential Policy; banking; banking sector; banking system; sovereign risk; banking crisis; capital adequacy; banking systems; probability of default; bank linkages; banking stability; banking crises; banking crisis probability; banking system exposures; banking network; banking statistics; banking supervision; return on equity; return on assets; tier 1 capital; bank holdings; banking sector assets; central banking; banking sectors; banking supervisors; foreign exchange exposure; bank balance sheet; capital requirement; bank balance sheets; banking sector stability; banking sector distress; capital adequacy ratio; bank assets; systemic banking crisis; bank regulators; bank recapitalization; banking system crises; banking institutions; bank holding companies; liability management; bank credit; potential exposure; segmentation;

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    1. Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "From Financial Crash to Debt Crisis," NBER Working Papers 15795, National Bureau of Economic Research, Inc.
    2. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance," IMF Working Papers 10/105, International Monetary Fund.
    3. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    4. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 11/111, International Monetary Fund.
    5. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main.
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    Cited by:
    1. Judith Eidenberger & Benjamin Neudorfer & Michael Sigmund & Ingrid Stein, 2013. "Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 62-81.

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