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Financial Stability Paper No 2: A New Approach to Assessing Risks to Financial Stability

Listed author(s):
  • Haldane, Andrew

    (Bank of England)

  • Hall, Simon

    (Bank of England)

  • Pezzini, Silvia

    (Bank of England)

The Bank’s July 2006 Financial Stability Report (FSR) included a new approach to assessing risks to the stability of the UK financial system. This paper explains the methodology and analysis behind this work and outlines what is being done to improve and extend it. Section 1 of the paper sets out the conceptual rationale for this approach. Section 2 describes its practical implementation in the July 2006 FSR, with further detail on methodology provided in a series of annexes. Section 3 concludes by discussing how this framework is being developed over time to improve the analysis of risks to the UK financial system and to strengthen the management of these risks by the financial sector.

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File URL: http://www.bankofengland.co.uk/financialstability/Pages/fpc/fspapers/fs_paper02.aspx
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Paper provided by Bank of England in its series Bank of England Financial Stability Papers with number 2.

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Length: 46 pages
Date of creation: 11 Apr 2007
Handle: RePEc:boe:finsta:0002
Note: http://www.bankofengland.co.uk/financialstability/Pages/fpc/fspapers/fs_paper02.aspx
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Bank of England, Threadneedle Street, London, EC2R 8AH

Phone: +44 (0)171 601 4030
Fax: +44 (0)171 601 5196
Web page: http://www.bankofengland.co.uk/
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  1. Richard N. Cooper, 2006. "Understanding global imbalances," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 51.
  2. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
  3. Ricardo J. Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas, 2008. "An Equilibrium Model of "Global Imbalances" and Low Interest Rates," American Economic Review, American Economic Association, vol. 98(1), pages 358-393, March.
  4. 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 449-470, May.
  5. Hausmann, Ricardo & Sturzenegger, Federico, 2006. "Global Imbalances or Bad Accounting? The Missing Dark Matter in the Wealth of Nations," Working Paper Series rwp06-003, Harvard University, John F. Kennedy School of Government.
  6. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June.
  7. Rodrigo Cifuentes & Hyun Song Shin & Gianluigi Ferrucci, 2005. "Liquidity Risk and Contagion," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 556-566, 04/05.
  8. John Whitley & Richard Windram, 2003. "A quantitative framework for commercial property and its relationship to the analysis of the financial stability of the corporate sector," Bank of England working papers 207, Bank of England.
  9. Martin Cihak, 2006. "How Do Central Banks Writeon Financial Stability?," IMF Working Papers 06/163, International Monetary Fund.
  10. Allen, William A. & Wood, Geoffrey, 2006. "Defining and achieving financial stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 152-172, June.
  11. Philip Bunn & Garry Young, 2004. "Corporate capital structure in the United Kingdom: determinants and adjustment," Bank of England working papers 226, Bank of England.
  12. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
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