Measuring and managing macrofinancial risk and financial stability: a new framework

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dc.contributor.authorGray, Dale
dc.contributor.authorMerton, Robert C.
dc.contributor.authorBodie, Zvi
dc.date.accessioned2019-11-01T00:04:54Z
dc.date.available2019-11-01T00:04:54Z
dc.date.issued2010
dc.descriptionThe vulnerability of a national economy to volatility in the global markets for credit, currencies, commodities, and other assets has become a central concern of policymakers. The responsibility for managing these risks at the national level is often given to the central bank. However, the conventional models and analytical tools used by central banks today are ill suited for analyzing these types of risk. This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of Contingent Claims Analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. When applied to the analysis and measurement of credit risk, CCA is commonly called the Merton Model. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise’s assets and liabilities to external shocks. At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees—some explicit and others implicit.
dc.file.nameBCCh-sbc-v15-p125_157
dc.format.pdf
dc.format.extentSección o Parte de un Documento
dc.format.mediump. 125-157
dc.identifier.isbn978-956-7421-34-3
dc.identifier.urihttps://hdl.handle.net/20.500.12580/3760
dc.language.isoeng
dc.publisherBanco Central de Chile
dc.relation.ispartofSeries on Central Banking, Analysis, and Economic Policies, no. 15
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/*
dc.subjectESTABILIDAD ECONÓMICAes_ES
dc.subjectRIESGO FINANCIEROes_ES
dc.subjectBANCOS CENTRALESes_ES
dc.titleMeasuring and managing macrofinancial risk and financial stability: a new framework
dc.type.docArtículo

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