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There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.
Includes bibliographical references.
Cover; Contents; Glossary; B; C; D; E; F; G; J; K; L; M; O; P; S; V; I. Introduction; II. Approaching Systemic Risk; A. What is Systemic Risk?; B. Key Features of the Toolkit; III. Mapping Tools to the Territory-A Practical Approach; A. Financial institutions: Is Excessive Risk Building Up in Financial Institutions?; B. Asset Prices: Are Asset Prices Growing Too Fast?; C. Sovereign Risk: How Much is Sovereign Risk a Source of Systemic Risk?; D. Broader Economy: What are the Amplification Channels among Sectors and through the Domestic Economy?
E. Cross-Border Linkages: What are the Amplification Channels through Cross-Border Spillovers?F. Crisis Risks: What is the Probability of a Systemic Crisis?; IV. Sample Country Case Study; V. Key Findings and Operational Implications; Referrences; Table; 1. Characteristics of Different Systemic Risk Monitoring tools-A Summary; Figures; 1. Structure of the Guide; 2. Buildup of Systemic Risk: Sources and Channels; 3. Unwinding of Systemic Risk: Sources and Channels; 4. Systemic Risk Dashboard for a Fictitious Country X at end-2007; Appendix: Tools Binder; Contents.
I. Conditional Value-At-Risk (CoVaR)II. Joint Distress Indicators; III. Returns Spillovers; IV. Distress Spillovers; V. Market-Based Probability of Default; VI. Debt Sustainability Analysis (DSA); VII. Indicators of Fiscal Stress; VIII. Sovereign Funding Shock Scenarios; IX. Asset Price Models; X. Balance Sheet Approach; XI. Systemic CCA; XII. Cross-Border Interconnectedness; XIII. Cross-border Network Contagion; XIV. Systemic Liquidity Risk Indicator; XV. Regime-Switching Volatility Model; XVI. Financial Soundness Indicators (FSIs); XVII. Bank Health Assessment Tool (HEAT).
XVIII. Thresholds ModelXIX. Macro Stress Tests; XX. GDP at Risk; XXI. Credit to GDP-Based Crisis Prediction Model; XXII. Crisis Prediction Models; XXIII. DSGE Model.
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