European Parliament Library

Cross-Border Financial Surveillance :, A Network Perspective, Juan Sole, Marco Espinosa-Vega

Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Network Analysis based on Interbank Exposures; II. A Simple Interbank Exposure Model; A. Network Simulations of Credit and Liquidity Shocks; 2. Effect of a Credit Shock on a Bank's Balance Sheet; 3. Effect of Credit and Funding Shock on a Bank's Balance Sheet; B. The Simulation Algorithms; C. The Data; 4. Cross-Border Claims on Immediate Borrower Basis and Ultimate Risk Basis; III. Simulation Results; A. Simulation 1: The Transmission of a Credit Shock; 1. Results for Simulation 1 (Credit Channel)
Literary Form
non fiction
"April 2010."
Physical Description
1 online resource (43 p.)
Specific Material Designation
Form Of Item

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