1 / 8

Measuring systemic risk

Measuring systemic risk . Stephen G Cecchetti Bank for International Settlements. SUERF/Deutsche Bundesbank/IMFS Conference “The ESRB at 1” 8 November 2011 Berlin, Germany. 1.

alyn
Télécharger la présentation

Measuring systemic risk

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Measuring systemic risk Stephen G Cecchetti Bank for International Settlements SUERF/Deutsche Bundesbank/IMFS Conference “The ESRB at 1” 8 November 2011 Berlin, Germany 1 The views expressed in these slides are those of the presenter and do not necessarily reflect those of the Bank for International Settlements.

  2. Systemic risk: what do we want to measure? Common exposures: • How big were European banks exposures to USD subprime? • How exposed are US entities to European sovereigns? Leverage: • How much leverage is embedded in synthetic instruments? • How much does embedded leverage contribute to system-wide leverage? Maturity transformation: • How much maturity transformation is there in the system? • How much currency transformation is there is taking place? Cross-border structure: • Non-banks in my country rely heavily on cross-border funding. How fickle is it? • If wholesale funding dries up elsewhere, how will it affect my housing market?

  3. What did we miss? European banks’ net US dollar balance sheet • Net = Assets - Liabilities • Investment in non-banks… • “desired investment portfolio” • longer term assets • Includes USTs and CDOs • Funded by … • Interbank borrowing • Foreign exchange reserves • Cross currency position: FX swaps into USD (implied)

  4. FX swaps: How can markets price risks they cannot see? from previous slide (plus CA and JP banks’ positions)

  5. Cross-border bank structure matters !

  6. Identifying vulnerabilities • Joint analysis of data covering many institutions can uncover … • Common exposures • Concentrated funding patterns • System-level leverage and maturity transformation • Broad dissemination  improves market discipline • Crisis management: choosing a course of action for distressed firms

  7. Where do we stand? • Current challenges: • No national supervisor has a global perspective • No infrastructure for sharing of confidential data • No system-level view and analysis • The Initiatives: • CGFS enhancements to BIS international banking statistics • Aggregate data with “geography” (eg TRUST Ltd) • FSB-G20 data gaps process: • Bank-level data collection

  8. Thank you.

More Related