Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk
fev, 2013 · International Monetary Fund
E-kitob
93
Sahifalar soni
reportReytinglar va sharhlar tasdiqlanmagan Batafsil
Bu e-kitob haqida
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Bu e-kitobni baholang
Fikringizni bildiring.
Qayerda o‘qiladi
Smartfonlar va planshetlar
Android va iPad/iPhone uchun mo‘ljallangan Google Play Kitoblar ilovasini o‘rnating. U hisobingiz bilan avtomatik tazrda sinxronlanadi va hatto oflayn rejimda ham kitob o‘qish imkonini beradi.
Noutbuklar va kompyuterlar
Google Play orqali sotib olingan audiokitoblarni brauzer yordamida tinglash mumkin.
Kitob o‘qish uchun mo‘ljallangan qurilmalar
Kitoblarni Kobo e-riderlar kabi e-siyoh qurilmalarida oʻqish uchun faylni yuklab olish va qurilmaga koʻchirish kerak. Fayllarni e-riderlarga koʻchirish haqida batafsil axborotni Yordam markazidan olishingiz mumkin.
