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

The 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 conventi...

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Autores principales:	Gray, Dale, Merton, Robert C., Bodie, Zvi
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	ESTABILIDAD ECONÓMICA RIESGO FINANCIERO BANCOS CENTRALES
Acceso en línea:	https://hdl.handle.net/20.500.12580/3760
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spelling	oai-20.500.12580-37602021-04-24T11:03:47Z Measuring and managing macrofinancial risk and financial stability: a new framework Gray, Dale Merton, Robert C. Bodie, Zvi ESTABILIDAD ECONÓMICA RIESGO FINANCIERO BANCOS CENTRALES The 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. 2019-11-01T00:04:54Z 2019-11-01T00:04:54Z 2010 Artículo 978-956-7421-34-3 https://hdl.handle.net/20.500.12580/3760 eng Series on Central Banking, Analysis, and Economic Policies, no. 15 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 125-157 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	ESTABILIDAD ECONÓMICA RIESGO FINANCIERO BANCOS CENTRALES
spellingShingle	ESTABILIDAD ECONÓMICA RIESGO FINANCIERO BANCOS CENTRALES Gray, Dale Merton, Robert C. Bodie, Zvi Measuring and managing macrofinancial risk and financial stability: a new framework
description	The 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.
format	Artículo
author	Gray, Dale Merton, Robert C. Bodie, Zvi
author_facet	Gray, Dale Merton, Robert C. Bodie, Zvi
author_sort	Gray, Dale
title	Measuring and managing macrofinancial risk and financial stability: a new framework
title_short	Measuring and managing macrofinancial risk and financial stability: a new framework
title_full	Measuring and managing macrofinancial risk and financial stability: a new framework
title_fullStr	Measuring and managing macrofinancial risk and financial stability: a new framework
title_full_unstemmed	Measuring and managing macrofinancial risk and financial stability: a new framework
title_sort	measuring and managing macrofinancial risk and financial stability: a new framework
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3760
work_keys_str_mv	AT graydale measuringandmanagingmacrofinancialriskandfinancialstabilityanewframework AT mertonrobertc measuringandmanagingmacrofinancialriskandfinancialstabilityanewframework AT bodiezvi measuringandmanagingmacrofinancialriskandfinancialstabilityanewframework
_version_	1718346845132947456

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

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