Funding liquidity risk in a quantitative model of systemic stability

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dc.contributor.authorAikman, David
dc.contributor.authorAlessandri, Piergiorgio
dc.contributor.authorEklund, Bruno
dc.contributor.authorGai, Prasanna
dc.contributor.authorKapadia, Sujit
dc.date.accessioned2019-11-01T00:04:56Z
dc.date.available2019-11-01T00:04:56Z
dc.date.issued2010
dc.descriptionThe global financial crisis of 2007–09 has illustrated the importance of including funding liquidity feedbacks in any model of systemic risk. This paper illustrates how we have incorporated such channels into a risk assessment model for systemic institutions (RAMSI) and it outlines the Bank of England’s plans to use RAMSI to sharpen its assessment of institution-specific and systemwide vulnerabilities. The model focuses on the health of core banks in the U.K. financial system. For these banks the model provides a coherent quantitative framework for assessing how shocks transmit through balance sheets allowing for macro-credit risk interest and noninterest income risk network interactions and feedback effects arising on both the asset and liability side of the balance sheet. Systemic risks stem from the connectivity of bank balance sheets via interbank exposures (counterparty risk) the interaction between balance sheets and asset prices (fire-sale effects) and confidence effects that may affect funding conditions.
dc.file.nameBCCh-sbc-v15-p371_410
dc.format.pdf
dc.format.extentSección o Parte de un Documento
dc.format.mediump. 371-410
dc.identifier.isbn978-956-7421-34-3
dc.identifier.urihttps://hdl.handle.net/20.500.12580/3875
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.subjectLIQUIDEZ (ECONOMÍA)es_ES
dc.subjectESTABILIDAD ECONÓMICAes_ES
dc.subjectCRISIS FINANCIERAes_ES
dc.subjectCRISIS ECONÓMICA 2008es_ES
dc.subjectBANCOS CENTRALESes_ES
dc.subjectBANCO DE INGLATERRAes_ES
dc.titleFunding liquidity risk in a quantitative model of systemic stability
dc.type.docArtículo

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