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Short-Term Wholesale Funding and Systemic Risk
International Monetary Fund
其他書名
A Global Covar Approach
出版International Monetary Fund, 2012-02-01
主題Business & Economics / Finance / GeneralBusiness & Economics / Banks & BankingBusiness & Economics / Accounting / Financial
ISBN14639436799781463943677
URLhttp://books.google.com.hk/books?id=UzeGnSE7ETQC&hl=&source=gbs_api
EBookSAMPLE
註釋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.