First: A Market-Based Approach to Evaluate Financial System Risk and Stability

18 Pages Posted: 3 Mar 2006

See all articles by Renzo Avesani

Renzo Avesani

International Monetary Fund - Monetary and Financial Systems Department

Date Written: December 2005

Abstract

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF`s Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the market perceptions for current and future stress on financial institutions. The focus of the analysis is mainly on large, complex financial institutions (LCFIs) operating in the most advanced financial markets, MRI and CRI have also been applied to internationally active commercial banks and insurance companies.

Keywords: Market risk, Credit risk, Large Complex Financial Institutions, Financial Stability

JEL Classification: G14, G15, G21, G24, G28

Suggested Citation

Avesani, Renzo, First: A Market-Based Approach to Evaluate Financial System Risk and Stability (December 2005). IMF Working Paper No. 05/232, Available at SSRN: https://ssrn.com/abstract=888101

Renzo Avesani (Contact Author)

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

700 19th Street NW
Washington, DC 20431
United States

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