A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (Syrin)

54 Pages Posted: 20 Feb 2018 Last revised: 21 Mar 2018

See all articles by Fabio Cortes

Fabio Cortes

Bank of England - Foreign Exchange Division

Peter H. Lindert

University of California, Davis - Department of Economics; National Bureau of Economic Research (NBER)

Sheheryar Malik

International Monetary Fund (IMF)

Miguel Segoviano Basurto

International Monetary Fund (IMF) - Monetary and Financial Systems Department

Date Written: January 2018

Abstract

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.

Keywords: Financial stability; systemic risk; shadow banks; mutual funds; spillovers, Financial stability, systemic risk, shadow banks, mutual funds, spillovers, Mathematical Methods, Other, Model Evaluation and Testing, Financial Markets and the Macroeconomy

JEL Classification: C02, C19, C52, C61, E32, E43, E44, G21

Suggested Citation

Cortes, Fabio and Lindert, Peter H. and Malik, Sheheryar and Segoviano Basurto, Miguel, A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (Syrin) (January 2018). IMF Working Paper No. 18/14, Available at SSRN: https://ssrn.com/abstract=3124399

Fabio Cortes (Contact Author)

Bank of England - Foreign Exchange Division ( email )

Threadneedle Street
London EC2R 8AH
United Kingdom

Peter H. Lindert

University of California, Davis - Department of Economics ( email )

One Shields Ave
Davis, CA 95616
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sheheryar Malik

International Monetary Fund (IMF) ( email )

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

Miguel Segoviano Basurto

International Monetary Fund (IMF) - Monetary and Financial Systems Department ( email )

Washington, DC
United States

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