Funding liquidity risk in a quantitative model of systemic stability

The 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 Engla...

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Autores principales:	Aikman, David, Alessandri, Piergiorgio, Eklund, Bruno, Gai, Prasanna, Kapadia, Sujit
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	LIQUIDEZ (ECONOMÍA) ESTABILIDAD ECONÓMICA CRISIS FINANCIERA CRISIS ECONÓMICA 2008 BANCOS CENTRALES BANCO DE INGLATERRA
Acceso en línea:	https://hdl.handle.net/20.500.12580/3875
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spelling	oai-20.500.12580-38752021-04-24T11:15:12Z Funding liquidity risk in a quantitative model of systemic stability Aikman, David Alessandri, Piergiorgio Eklund, Bruno Gai, Prasanna Kapadia, Sujit LIQUIDEZ (ECONOMÍA) ESTABILIDAD ECONÓMICA CRISIS FINANCIERA CRISIS ECONÓMICA 2008 BANCOS CENTRALES BANCO DE INGLATERRA The 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. 2019-11-01T00:04:56Z 2019-11-01T00:04:56Z 2010 Artículo 978-956-7421-34-3 https://hdl.handle.net/20.500.12580/3875 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. 371-410 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	LIQUIDEZ (ECONOMÍA) ESTABILIDAD ECONÓMICA CRISIS FINANCIERA CRISIS ECONÓMICA 2008 BANCOS CENTRALES BANCO DE INGLATERRA
spellingShingle	LIQUIDEZ (ECONOMÍA) ESTABILIDAD ECONÓMICA CRISIS FINANCIERA CRISIS ECONÓMICA 2008 BANCOS CENTRALES BANCO DE INGLATERRA Aikman, David Alessandri, Piergiorgio Eklund, Bruno Gai, Prasanna Kapadia, Sujit Funding liquidity risk in a quantitative model of systemic stability
description	The 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.
format	Artículo
author	Aikman, David Alessandri, Piergiorgio Eklund, Bruno Gai, Prasanna Kapadia, Sujit
author_facet	Aikman, David Alessandri, Piergiorgio Eklund, Bruno Gai, Prasanna Kapadia, Sujit
author_sort	Aikman, David
title	Funding liquidity risk in a quantitative model of systemic stability
title_short	Funding liquidity risk in a quantitative model of systemic stability
title_full	Funding liquidity risk in a quantitative model of systemic stability
title_fullStr	Funding liquidity risk in a quantitative model of systemic stability
title_full_unstemmed	Funding liquidity risk in a quantitative model of systemic stability
title_sort	funding liquidity risk in a quantitative model of systemic stability
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3875
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Funding liquidity risk in a quantitative model of systemic stability

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