Contingent Liabilities from Banks: How to Track Them?

International Monetary Fund (IMF) Working Paper 15/255

30 Pages Posted: 15 Dec 2015

See all articles by Serkan Arslanalp

Serkan Arslanalp

International Monetary Fund (IMF)

Yin Liao

Australian National University - The Centre for Applied Macroeconomic Analysis (CAMA); Macquarie University - Department of Applied Finance and Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Date Written: December 2015

Abstract

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

Arslanalp, Serkan and Liao, Yin and Liao, Yin, Contingent Liabilities from Banks: How to Track Them? (December 2015). International Monetary Fund (IMF) Working Paper 15/255, Available at SSRN: https://ssrn.com/abstract=2703153 or http://dx.doi.org/10.2139/ssrn.2703153

Serkan Arslanalp (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Yin Liao

Australian National University - The Centre for Applied Macroeconomic Analysis (CAMA) ( email )

Canberra, Australian Capital Territory 2601
Australia

Macquarie University - Department of Applied Finance and Actuarial Studies ( email )

Eastern Rd.
North Ryde
Sydney, NSW 2109
United States

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