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
Contributor
Author
Publisher
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
CEF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
Government publication
international or intergovernmental publication
Index
no index present
LC call number
HG3881.5.I58 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://bibfra.me/vocab/lite/organizationName
International Monetary Fund,
http://library.link/vocab/relatedWorkOrContributorName
International Monetary Fund
Series statement
IMF Working Paper,
Series volume
WP/12/46
Label
Short-Term Wholesale Funding and Systemic Risk : a Global Covar Approach
Instantiates
Publication
Note
Available in PDF, ePUB, and Mobi formats on the Internet
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
1044333426
Dimensions
unknown
Extent
1 online resource (36 pages)
Form of item
online
Isbn
9781463936471
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781463943660.001
Specific material designation
remote
System control number
(OCoLC)1044333426
Label
Short-Term Wholesale Funding and Systemic Risk : a Global Covar Approach
Publication
Note
Available in PDF, ePUB, and Mobi formats on the Internet
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
1044333426
Dimensions
unknown
Extent
1 online resource (36 pages)
Form of item
online
Isbn
9781463936471
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781463943660.001
Specific material designation
remote
System control number
(OCoLC)1044333426

Library Locations

    • Pardee Legal Research CenterBorrow it
      5998 Alcalá Park, San Diego, CA, 92110-2492, US
      32.771471 -117.187496
Processing Feedback ...