Contingent Liabilities from Banks: How to Track Them?
International Monetary Fund (IMF) Working Paper 15/255
30 Pages Posted: 15 Dec 2015
Date Written: December 2015
In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on the banking sector’s size, concentration, diversification, leverage, and riskiness of assets. The index is illustrated for 32 advanced and emerging market economies from 2006 to 2013, as well as a group of banks including global systemically important banks (G-SIBs).
Keywords: Contingent Liabilities, Sovereign Risk, Banking Sector
JEL Classification: G13,G21,G38
Suggested Citation: Suggested Citation