Download or read book Macrofinancial Risk Analysis written by Dale Gray and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
Download or read book Dealing with the Challenges of Macro Financial Linkages in Emerging Markets written by Otaviano Canuto and published by World Bank Publications. This book was released on 2013-10-29 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the challenges of macro financial linkages in the emerging markets.
Download or read book Approaches to Macrofinancial Surveillance in Article IV Reports written by International Monetary Fund. Strategy, Policy, & Review Department and published by International Monetary Fund. This book was released on 2017-03-28 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fund has made good progress over the past two years in integrating macrofinancial analysis into Article IV surveillance for a wide range of members. Building on past work to enhance financial sector analysis, Fund staff has sought to develop a consistent and forward-looking view on how the financial sector affects each member’s economic outlook with the aim of strengthening staff’s capacity to provide advice on macro-critical questions. The focus has been on developing a fuller understanding of macrofinancial linkages, and applying this analysis to inform policy advice. Staff has sought to articulate the role of the financial sector in the macroeconomic baseline, and to integrate the financial sector into the risk assessment, taking into account both the impact of macro shocks on the financial sector as well as the effect of financial shocks on macroeconomic stability. Strengthening the analytical foundations of this work has helped staff provide advice in all policy areas, including financial sector policies. Staff has tailored macrofinancial analysis to the circumstances of a diverse set of economies. Area departments have taken the lead in selecting 66 economies for enhanced macrofinancial coverage and in identifying topics, drawing on targeted support from functional departments. The choice of coverage has included legacies from the global financial crisis—such as deleveraging and stretched balance sheets in advanced economies and some emerging markets—and more recent challenges such as commodity price shocks, especially in low income countries, and the risks of housing booms. The financial sector’s contribution to growth and inclusion has become an important question in countries across all income groups. Staff sees benefits in mainstreaming this approach across the membership, while continuing to address analytical gaps and adapting to new challenges. The work of the past two years has underscored the criticality of macrofinancial analysis for a diverse range of members, and laid the basis for progressively mainstreaming macrofinancial surveillance across the membership. Building on this progress, staff sees scope for the Fund to deepen its understanding of the macroeconomic effects of financial shocks, to better adapt microprudential and macroprudential policy advice with an assessment of macro-critical risks including systemic risk, and to deepen the analysis of outward spillovers. Staff will also need to continue to adapt the focus of analysis and tools, and seek relevant data, as economic challenges evolve.
Download or read book Managing Macrofinancial Risk written by Tobias Adrian and published by . This book was released on 2020-08-07 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of structural shocks as functions of the business or financial cycle. The resultant heteroskedastic linearized DSGE model preserves the satisfactory simulation and forecasting performance of its nested homoskedastic counterpart for the conditional means of endogenous variables, while substantially improving its goodness of fit to their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for state dependent conditional heteroskedasticity makes it optimal for monetary policy to respond more aggressively to the business cycle, and for macroprudential policy to manage the resilience of the banking sector more actively over the financial cycle.
Download or read book New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability written by Dale Gray and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise's assets and liabilities to external "shocks." At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees -- some explicit and others implicit. Traditional approaches have difficulty analyzing how risks can accumulate gradually and then suddenly erupt in a full-blown crisis. The CCA approach is well-suited to capturing such "non-linearities" and to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk.
Download or read book The MacroFinancial Risk Assessment Framework written by José Fique and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada's stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs). This new version incorporates the characteristics of the previous model and also includes fire-sale effects resulting from the regulatory leverage constraints faced by banks, as well as an enhanced treatment of feedback-loop effects between solvency and liquidity risks through both the pricing and costly asset-liquidation channels. These new features improve the model's ability to capture the non-linear effects of risk scenarios on D-SIBs' capital positions and shed light on the importance of additional channels of stress propagation. The model is also subject to a comprehensive sensitivity analysis"--Abstract, p. v.
Download or read book Risk Topography written by Markus Brunnermeier and published by University of Chicago Press. This book was released on 2014-10-17 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
Download or read book 2021 Comprehensive Surveillance Review Background Paper on Systemic Risk and Macroprudential Policy Advice in Article IV Consultations written by International Monetary and published by International Monetary Fund. This book was released on 2021-05-18 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses progress made in deepening and integrating systemic risk analysis and macroprudential policy advice in Article IV consultations following up on the findings of the IEO evaluation. The assessment informs the Comprehensive Surveillance Review and the FSAP Review in their recommendations to strengthen these areas in Article IV consultations. The findings point to notable improvements made since the launch of the macrofinancial mainstreaming initiative, particularly in staff reports for advanced economies and in covering bank and credit-related risks.
Download or read book New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability written by Dale Gray and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Balance sheet interlinkages and macro financial risk analysis in the Euro area written by Olli Castrén and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Macrofinancial Approach to Supervisory Standards Assessments written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2014-08-18 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standards assessments serve several important objectives but are not well integrated into Fund surveillance. Financial standards assessments, when undertaken in the context of FSAPs, are used to identify weaknesses in financial regulation and supervision, or other areas covered by international standards. However, those weaknesses are not specifically linked to the risks and vulnerabilities facing the financial sector. Conversely, the analysis of country-specific vulnerabilities in the FSAP does not contribute to targeting the standard assessment effort, since the assessment must be exhaustive and cover the entire standard.
Download or read book Assessing Country Risk written by Mr.Ashvin Ahuja and published by International Monetary Fund. This book was released on 2017-06-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing country risk is a core component of surveillance at the IMF. It is conducted through a comprehensive architecture, covering both bilateral and multilateral dimensions. This note describes some of the approaches used internally by Fund staff to examine a wide array of systemic risks across advanced, emerging, and low-income economies. It provides a high-level view of the theory and methodologies employed, with an on-line companion guide providing more technical details of implementation. The guide will be updated as Fund staff’s methodologies for assessing country risk continue to evolve with experience and feedback. While the results of these approaches are not published by the IMF for market sensitivity reasons, they inform risk assessments featured in bilateral surveillance as well as in the IMF’s flagship publications on global surveillance.
Download or read book A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy written by Zvi Bodie and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The high cost of international economic and financial crises highlights the need for a comprehensive framework to assess the robustness of national economic and financial systems. This paper proposes a new comprehensive approach to measure, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk accounting framework for an economy. CCA provides a natural framework for analysis of mismatches between an entity's assets and liabilities, such as currency and maturity mismatches on balance sheets. Policies or actions that reduce these mismatches will help reduce risk and vulnerability. It also provides a new framework for sovereign capital structure analysis. It is useful for assessing vulnerability, policy analysis, risk management, investment analysis, and design of risk control strategies. Both public and private sector participants can benefit from pursuing ways to facilitate more efficient macro risk accounting, improve price and volatility discovery, and expand international risk intermediation activities.
Download or read book New Zealand written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2017-05-10 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Technical Note discusses the results of stress testing of the banking sector and systemic risk analysis for New Zealand. The banking sector, which dominates the financial system, has significant exposure to real estate. A sharp decline in the real estate market, a prolonged period of low dairy prices, deterioration in global economic conditions, and a tightening in financial markets would adversely impact the system. Despite these risks, the banking system is resilient to severe shocks. Results of stress tests and sensitivity analysis indicate that the solvency and liquidity of the banking system can withstand adverse and severe shocks.
Download or read book Designing Effective Macroprudential Stress Tests written by Mr.Dimitri G. Demekas and published by International Monetary Fund. This book was released on 2015-06-30 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and—crucially—be combined with microprudential perspectives.
Download or read book Philippines Financial Sector Assessment Program Technical Note on Risk Assessment of Banks Non Financial Corporates and Macro Financial Linkages written by International Monetary and published by International Monetary Fund. This book was released on 2022-06-07 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Philippines is a dynamic economy with a relatively smaller financial system than other Asian emerging market economies, dominated by banks. The total assets of the system amount to 126 percent of GDP. However, bank credit is just over 50 percent of GDP and mostly goes to nonfinancial corporates (NFCs). Banks are also tightly interlinked with NFCs through conglomerate ownerships. Access to finance for individuals is significantly lower than comparator systems, with only a third of adults having formal accounts. Non-bank financial institutions and capital markets—especially bond markets—are substantially less developed than banks. The Fintech ecosystem is nascent.
Download or read book Switzerland written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-06-27 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Sector Assessment Program; Technical Note-Macrofinancial Analysis and Macroprudential Policy
