Short-Term Wholesale Funding and Systemic Risk; A Global Covar Approach
International Monetary Fund
Authors registered in the RePEc Author Service: Antonio Moreno () and
Germán López-Espinosa ()
No 12/46, IMF Working Papers from International Monetary Fund
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.
Keywords: Economic models; Financial risk; Financial institutions; International banks; Liquidity risk; Systemic risk; Wholesale Funding, Macroprudential Regulation, recapitalization, financial system, contagion, Multiple or Simultaneous Equation Models: General, Financial Institutions and Services: General, General Financial Markets, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (36) Track citations by RSS feed
Downloads: (external link)
Journal Article: Short-term wholesale funding and systemic risk: A global CoVaR approach (2012)
Working Paper: Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:imf:imfwpa:12/46
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Series data maintained by Jim Beardow ().