FIRST; A Market-Based Approach to Evaluate Financial System Risk and Stability
This 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.
|Date of creation:||01 Dec 2005|
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References listed on IDEAS
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- 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.
- 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.
- 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.).
- 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.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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. Full references (including those not matched with items on IDEAS)
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