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Banking stability measures /
This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distre...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2009.
|
| Colección: | IMF working paper ;
WP/09/4. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 082 | 0 | 4 | |a 332.1 |q OCoLC |2 22/eng/20230216 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Segoviano, Miguel A., |e author. | |
| 245 | 1 | 0 | |a Banking stability measures / |c prepared by Miguel A. Segoviano and Charles Goodhart. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2009. | ||
| 300 | |a 1 online resource (54 pages) : |b illustrations (some color) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file | ||
| 490 | 1 | |a IMF working paper ; |v WP/09/4 | |
| 500 | |a At head of title: Monetary and Capital Markets Department. | ||
| 500 | |a "January 2009." | ||
| 504 | |a Includes bibliographical references (pages 49-54). | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii) distress between specific banks, and (iii) distress in the system associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system's multivariate density (BSMD) from which the proposed measures are estimated. The BSMD embeds the banks' default inter-de. | ||
| 505 | 0 | |a I. Introduction; II. Distress Dependence among Banks and Stability of the Banking System; Figures; 1. The Probability of Distress; III. Banking System Multivariate Density; A. The CIMDO Approach: Modeling the Banking System Multivariate Density; 2. The Banking System's Multivariate Density; B. The CIMDO-copula: Distress Dependence among Banks in the System; Box; 1. Drawbacks to the Characterization of Distress Dependence of Financial Returns with Correlations; IV. Banking Stability Measures; A. Common Distress in the Banks of the System; B. Distress Between Specific Banks | |
| 505 | 8 | |a C. Distress in the System Associated with a Specific BankTables; 1. Distress Dependence Matrix; V. Banking Stability Measures: Empirical Results; 3. Probability That At Least One Bank Becomes Distressed; A. Estimation of Probabilities of Distress of Individual Banks; B. Examination of Relative Changes of Stability over Time; 4. Joint Probability of Distress; 5. Banking Stability Index; 6. Daily Percentage Increase: Joint and Average Probability of Distress; 7. PAO: Lehman; C. Analysis of Cross-Region Effects Between Different Banking Groups | |
| 505 | 8 | |a D. Analysis of Foreign Banks' Risks to Sovereigns with Banking Systems with Cross-Border Institutions2. Distress Dependence Matrix: American and European Banks; 8. Foreign-Bank and Sovereign Risks; 3. Distress Dependence Matrix: Latin America. Sovereigns and Banks; 4. Distress Dependence Matrix: Eastern Europe. Sovereigns and Banks; 5. Distress Dependence Matrix: Asia. Sovereigns and Banks; VI. Conclusions; Appendixes; I. Copula Functions; II. CIMDO-copula; III. CIMDO-density and CIMDO-copula Evaluation Framework; IV. Estimation of Probabilities of Distress of Individual Banks; References | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Banks and banking. | |
| 650 | 0 | |a Bank failures. | |
| 650 | 6 | |a Banques |x Faillites. | |
| 650 | 7 | |a Bank failures |2 fast | |
| 650 | 7 | |a Banks and banking |2 fast | |
| 700 | 1 | |a Goodhart, C. A. E. |q (Charles Albert Eric), |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJwHjhMYX9BGFHckjQq4v3 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. | |
| 776 | 0 | 8 | |i Print version: |a Segoviano, Miguel A. |t Banking stability measures. |d [Washington, D.C.] : Monetary and Capital Markets Dept., ©2009 |w (OCoLC)299024966 |
| 830 | 0 | |a IMF working paper ; |v WP/09/4. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1608128 |z Texto completo |
| 938 | |a EBL - Ebook Library |b EBLB |n EBL1608128 | ||
| 994 | |a 92 |b IZTAP | ||