EconPapers    
Economics at your fingertips  
 

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

Abstract: 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 institutions; Financial risk; International banks (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
Date: 2012-02-01
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=25720 (application/pdf)

Related works:
Journal Article: Short-term wholesale funding and systemic risk: A global CoVaR approach (2012) Downloads
Working Paper: Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:imf:imfwpa:12/46

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund
Address: International Monetary Fund, Washington, DC USA
Contact information at EDIRC.
Series data maintained by Jim Beardow ().

 
Page updated 2014-03-30
Handle: RePEc:imf:imfwpa:12/46