Draft Technical Note – Using the CCA Framework to Estimate Potential Losses and Implicit Government Guarantees to U.S. Banks By Dale Gray and Andy Jobst (MCM, IMF)
نویسنده
چکیده
This note uses the contingent claims analysis (CCA) framework to estimate potential bank losses (in the event of distress) and the magnitude of implicit government guarantees for the top 17 U.S. commercial banks, all of which have been stress-tested in the context of the SCAP. In addition, it presents potential losses and quantifies the individual banks’ contributions to government contingent liabilities and systemic risk in the event of a systemic bank distress (“tail risks”).
منابع مشابه
de Conference “ Beyond the Financial Crisis : Systemic Risk , Spillovers and Regulation ” Dresden , 28 - 29 October 2010 Dale F Gray
The global financial crisis that began in 2007 has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Risk management concentrates on the analysis of risk at the level of the individual institution and system-wide. This paper illustrates how contingent claims analysis (CCA) can be applied in new ways to improve systemic financial sector ...
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