Coverart for item
The Resource Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach

Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach

Label
Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach
Title
Short-Term Wholesale Funding and Systemic Risk
Title remainder
A Global Covar Approach
Creator
Author
Subject
Genre
Language
eng
Summary
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
I584 2012 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://bibfra.me/vocab/lite/organizationName
International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/12/46
http://library.link/vocab/subjectName
  • Contagion
  • Financial Institutions and Services: General
  • Financial System
  • General Financial Markets
  • Macroprudential Regulation
  • Multiple or Simultaneous Equation Models: General
  • Australia
  • Belgium
  • Canada
  • France
  • United Kingdom
Label
Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2012046
Dimensions
unknown
Extent
1 online resource (36 pages)
Form of item
online
Isbn
9781463936471
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781463936471.001
Specific material designation
remote
System control number
(IMF)WPIEA2012046
Label
Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2012046
Dimensions
unknown
Extent
1 online resource (36 pages)
Form of item
online
Isbn
9781463936471
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781463936471.001
Specific material designation
remote
System control number
(IMF)WPIEA2012046

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