Toward a Global Risk Map

27 Pages Posted: 28 Jun 2010

See all articles by Stephen G. Cecchetti

Stephen G. Cecchetti

Brandeis International Business School; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Ingo Fender

Bank for International Settlements (BIS)

Patrick McGuire

Bank for International Settlements (BIS)

Date Written: May 1, 2010

Abstract

Global risk maps are unified databases that provide risk exposure data to supervisors and the broader financial market community worldwide. We think of them as giant matrices that track the bilateral (firm-level) exposures of banks, non-bank financial institutions and other relevant market participants. While useful in principle, these giant matrices are unlikely to materialise outside the narrow and targeted efforts currently being pursued in the supervisory domain. This reflects the well known trade-offs between the macro and micro dimensions of data collection and dissemination. It is possible, however, to adapt existing statistical reporting frameworks in ways that would facilitate an analysis of exposures and build-ups of risk over time at the aggregate (sectoral) level. To do so would move us significantly in the direction of constructing the ideal global risk map. It would also help us sidestep the complex legal challenges surrounding the sharing or dissemination of firm-level data, and it would support a two-step approach to systemic risk monitoring. That is, the alarms sounded by the aggregate data would yield the critical pieces of information to inform targeted analysis of more detailed data at the firm- or market-level.

Keywords: Risk Map, International Banking, Financial Crises, Yen Carry Trade, Funding Risk

JEL Classification: F3, G01, G15, G21, Y1

Suggested Citation

Cecchetti, Stephen G. and Fender, Ingo and McGuire, Patrick M., Toward a Global Risk Map (May 1, 2010). BIS Working Paper No. 309. Available at SSRN: https://ssrn.com/abstract=1631789 or http://dx.doi.org/10.2139/ssrn.1631789

Stephen G. Cecchetti (Contact Author)

Brandeis International Business School ( email )

415 South Street
Waltham, MA 02453
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States
212-720-8629 (Phone)
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Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Ingo Fender

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

HOME PAGE: http://www.bis.org

Patrick M. McGuire

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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