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Cross-Border Financial Surveillance: A Network Perspective

  • Juan Sole
  • Marco A Espinosa-Vega

Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/105.

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Length: 27
Date of creation: 01 Apr 2010
Date of revision:
Handle: RePEc:imf:imfwpa:10/105
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  17. Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2009. "Cross-Border Exposures and Financial Contagion," Discussion Paper 2009-20, Tilburg University, Center for Economic Research.
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