Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information (Record no. 166279)

000 -LEADER
fixed length control field 03534nam a22004454a 4500
001 - CONTROL NUMBER
control field WPIEA2011263
003 - CONTROL NUMBER IDENTIFIER
control field IMF
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20190408083534.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cn|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 020129s2011 dcu o i00 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1463924615 :
Terms of availability 18.00 USD
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9781463924614
022 ## - INTERNATIONAL STANDARD SERIAL NUMBER
International Standard Serial Number 1018-5941
024 7# - OTHER STANDARD IDENTIFIER
Standard number or code 10.5089/9781463924614.001
Source of number or code doi
035 ## - SYSTEM CONTROL NUMBER
System control number (IMF)WPIEA2011263
040 ## - CATALOGING SOURCE
Original cataloging agency DcWaIMF
Language of cataloging eng
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Schumacher, Liliana.
245 10 - TITLE STATEMENT
Title Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information
Medium [electronic resource] /
Statement of responsibility, etc Liliana Schumacher.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Washington, D.C. :
Name of publisher, distributor, etc International Monetary Fund,
Date of publication, distribution, etc 2011.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (49 p.)
490 1# - SERIES STATEMENT
Series statement IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 11/263
520 3# - SUMMARY, ETC.
Summary, etc This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze correlated market and credit risk and estimate the probability that multiple banks will fail or experience liquidity runs simultaneously. Significant systemic risk factors are shown to include financial and economic environment regime shifts to stressful conditions, poor initial loan credit quality, loan portfolio sector and regional concentrations, bank creditors' sensitivity to and uncertainties regarding solvency risk, and inadequate capital. Systemic banking system solvency risk is driven by the correlated defaults of many borrowers, other market risks, and inter-bank defaults. Liquidity runs are modeled as a response to elevated solvency risk and uncertainties and are shown to increase correlated bank failures. Potential bank funding outflows and contractions in lending with significant real economic impacts are estimated. Increases in equity capital levels needed to reduce bank solvency and liquidity risk levels to a target confidence level are also estimated to range from 3 percent to 20 percent of assets. For a future environment that replicates the 1987-2006 volatilities and correlations, we find only a small risk of U.S. bank failures focused on thinly capitalized and regionally concentrated smaller banks. For the 2007-2010 financial environment calibration we find substantially elevated solvency and liquidity risks for all banks and the banking system.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Description based on print version record.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Bank Failures
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Banking System
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Banking
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element General Financial Markets: Other
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Probabilities
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Probability
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name Georgia
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name Hong Kong Special Administrative Region of China
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name United Kingdom
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name United States
Source of heading or term imf
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Barnhill, Theodore M.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Schumacher, Liliana.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print Version:
Main entry heading Schumacher, Liliana.
Title Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information
Place, publisher, and date of publication Washington, D.C. : International Monetary Fund, 2011.
International Standard Book Number 9781463924614
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 11/263
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://elibrary.imf.org/view/IMF001/12295-9781463924614/12295-9781463924614/12295-9781463924614.xml">http://elibrary.imf.org/view/IMF001/12295-9781463924614/12295-9781463924614/12295-9781463924614.xml</a>
Public note IMF e-Library
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://www.imfbookstore.org/IMFORG/9781463924614">http://www.imfbookstore.org/IMFORG/9781463924614</a>
Public note IMF Book Store

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