Deputy Chief Financial Institutions and Lead Financial Inclusion, International Monetary Fund
Journal of International Money and Finance, 146, 103107
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking...
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of...
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...
The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability...
