Contingent Liabilities from Banks: How to Track Them?

Serkan Arslanalp and Yin Liao

No 2015/255, IMF Working Papers from International Monetary Fund

Abstract: In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on the banking sector’s size, concentration, diversification, leverage, and riskiness of assets. The index is illustrated for 32 advanced and emerging market economies from 2006 to 2013, as well as a group of banks including global systemically important banks (G-SIBs).

Keywords: WP; banking sector; Contingent Liabilities; Sovereign Risk; bank liability; support measure; asset volatility; distress probability; bank resolutions cost; bank Distress; Commercial banks; Global financial crisis of 2008-2009; Banking crises; Global (search for similar items in EconPapers)
Pages: 30
Date: 2015-12-09
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Citations: View citations in EconPapers (5)

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