United Kingdom: Financial Sector Assessment Program-Systemic Risk and Interconnectedness Analysis-Technical Note

International Monetary Fund

No 2016/164, IMF Staff Country Reports from International Monetary Fund

Abstract: This paper summarizes the assessment of interconnectedness and systemic risk undertaken for the U.K. financial system as part of the Financial Sector Assessment Program. It consists of three parts, focusing on the following: (1) motivation for monitoring cross-sector interconnectedness as part of the financial system’s resilience assessment, (2) description of selected empirical methods that may be employed to analyze interconnectedness, and (3) an illustrative analysis conducted, based on a definition of the financial system that incorporates U.K. banking and life insurance sectors. The assessment of financial system resilience should account for the evolution of interconnectedness between firms and sectors.

Keywords: ISCR; CR; banking sector; financial system; U.K. financial system; banking sector resilience; U.K. export trade weight; banking sector stress tests; euro area banking sectors; balance sheet interconnectedness; modeling portfolio risk; lending market; CDS spread; asset price dislocation; Financial contagion; Commercial banks; Insurance companies; Systemic risk; Spillovers; Global (search for similar items in EconPapers)
Pages: 21
Date: 2016-06-17
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