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Banking Stability Measures
Company: International Monetary Fund
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: January
Pages: 56
Download Count: 12
View Count: 1485
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-18-2010
Publisher: Administrator
Summary
This paper defines a set of banking stability measures which take account of distress dependence among the
banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by
allowing the measurement of (i) common distress of the banks in a system, (ii) distress between specific banks,
and (iii) distress in the system associated with a specific bank. Our approach defines the banking system as a
portfolio of banks and infers the system’s multivariate density (BSMD) from which the proposed measures are
estimated. The BSMD embeds the banks’ default inter-dependence structure that captures linear and non-linear
distress dependencies among the banks in the system, and its changes at different times of the economic cycle.
The BSMD is recovered using the CIMDO-approach, a new approach that in the presence of restricted data,
improves density specification without explicitly imposing parametric forms that, under restricted data sets, are
diffi
Author(s)
Segoviano, Miguel Angel Sign in to follow this author
Goodhart, Charles A. Sign in to follow this author
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