Macroprudential due-diligence framework for shadow banking entities

Lukasz Prorokowski ()
Additional contact information
Lukasz Prorokowski: Masaryk University, Institute of Financial Complex Systems

Bank i Kredyt, 2020, vol. 51, issue 6, 587-612

Abstract: Addressing the need for greater transparency and control over the shadow banking system, this paper designs a macroprudential tool that serves to ensure greater financial stability through identifying and managing systemic risk posed by the shadow banking investment funds. In particular, the paper investigates potential crisis contagion channels within the shadow banking system by analysing the interconnectedness of the shadow banking investment funds and highlighting the links within the internal structures of the investment funds and securitisation vehicles, as well as external relationships with credit institutions. The paper proposes a due-diligence tool for monitoring and controlling the build-up of systemic risk posed by any shadow banking investment fund. This macroprudential tool serves as an early warning system against the growing systemic vulnerabilities of the shadow banking entities. Finally, the paper advises on efficient ways of sourcing, managing and reporting shadow banking data that ultimately address the issues of limited transparency of the shadow banking system.

Keywords: shadow banking; systemic risk; interconnectedness; due-diligence; investment funds (search for similar items in EconPapers)
JEL-codes: G01 G21 G24 G28 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bankikredyt.nbp.pl/content/2020/06/BIK_06_2020_01.pdf (application/pdf)

Related works:
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: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:51:y:2020:i:6:p:587-612

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Wojciech Burjanek ().