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Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk / Andreas Jobst, Dale Gray.
- Format:
- Book
- Government document
- Author/Creator:
- Jobst, Andreas.
- Series:
- IMF Working Papers; Working Paper ; No. 2013/054
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Financial crises.
- Risk management.
- Systemic risk.
- Europe--Foreign economic relations--Europe, Eastern--Congresses.
- Europe.
- Europe, Eastern--Foreign economic relations--Europe--Congresses.
- Europe, Eastern.
- Europe--Foreign economic relations--Former Soviet republics--Congresses.
- Former Soviet republics--Foreign economic relations--Europe--Congresses.
- Former Soviet republics.
- Physical Description:
- 1 online resource (94 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2013.
- Language Note:
- English
- Summary:
- 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.
- Contents:
- Cover; Contents; I. Introduction; Tables; 1. General Systemic Risk Measurement Approaches; 2. Selected Institution-Level Systemic Risk Models; II. Methodology; 3. Main Features of the Systemic CCA Model; 4. Traditional Accounting Bank Balance Sheet; 5. Risk-adjusted (CCA) Bank Balance Sheet; Boxes; 1. Extension of BSM Model Using the Gram-Charlier (GC) Specification or Jump Diffusion; Figures; 1. The Location of Expected Shortfall (ES) in a Stylized Loss Distribution; III. Extensions of the Systemic CCA Framework; 2. Valuation Linkages between the Sovereign and Banking Sector
- 2. Interaction and Feedback between the Sovereign and Financial Sector Balance Sheets Using the Systemic CCA Framework3. Integrated Market-based Capital Assessment Using CCA and Systemic CCA; 3. The Importance of Distributions and Dependence in Stress Testing; 4. Key Conceptual Differences in Loss Measurements; IV. Empirical Application: Systemic Risk from Expected Losses and Contingent Liabilities in the U.S. Financial System; 5. United States: Financial Sector - Time Pattern of the Alpha-Value
- 6. United States: Systemic CCA Estimates of Market-Implied Total Contingent Liabilities and Multivariate Density of Contingent Liabilities7. United States: Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); 6. United States: Systemic CCA Estimates of Market-Implied Average Individual Contribution to Systemic Risk from Contingent Liabilities; 8. United States: Decomposition of Systemic CCA Estimates of Market-Implied Average Daily Expected Shortfall (ES); V. Empirical Application: Stress Testing Systemic Risk from Expected Losses in the U.K. Banking Sector
- 7. United States: Systemic CCA Estimates of Market-Implied Fair Value Surcharge for Systemic Risk based on Total Contingent Liabilities9. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on CCA-derived Estimates of Expected Losses; 10. United Kingdom: Integrated Market-based Capital Assessment of a Single Firm Based on Systemic CCA-derived Estimates of Joint Expected Losses; 11. United Kingdom: Integration of the RAMSI and Systemic CCA Models based on Common Specification of Macro-Financial Linkages
- 12. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Capital Losses from the U.K. FSAP Update Top-Down Stress Tests8. United Kingdom: Systemic CCA Estimates of Market-Implied Joint Potential Capital Loss; 9. United Kingdom: Systemic CCA Estimates of Market-Implied Individual Contributions of Sample Banks to Systemic Risk-Market-Implied Joint Capital Loss; VI. Conclusion; References; Appendices; 1. Standard Definition of Contingent Claims Analysis (CCA); 2. Estimation of the Empirical State Price Density (SPD)
- 3. Estimation of the Shape Parameter Using the Linear Combination of Ratios of Spacings (LRS) Method As Initial Value for the Maximum Likelihood (ML) Function
- Notes:
- February 2013.
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed September 26, 2014).
- ISBN:
- 9781475585476
- 1475585470
- 9781475557534
- 1475557531
- 9781299395206
- 1299395201
- 9781557755018
- 1557755019
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