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First; A Market-Based Approach to Evaluate Financial System Risk and Stability

  • Renzo G. Avesani
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    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.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=18734
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    Paper provided by International Monetary Fund in its series IMF Working Papers with number 05/232.

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    Length: 18
    Date of creation: 01 Dec 2005
    Date of revision:
    Handle: RePEc:imf:imfwpa:05/232
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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.).
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