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IMF working paper ;.
COMAP: mapping contagion in the euro area banking sector. — WP/19/102. / by Giovanni Covi, Mehmet Ziya Gorpe, Chrisoffer Kok. — 1 online resource. — (IMF Working Paper). — <URL:http://elib.fa.ru/ebsco/2242524.pdf>.

Record create date: 9/9/2019

Subject: Banks and banking, Central; Monetary unions; Banks and banking, Central.; Monetary unions.

Collections: EBSCO

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Table of Contents

  • Cover
  • CONTENTS
  • 1. Introduction
  • 2. A Review of Network Analysis Literature
  • 3. A Novel Database on Bank Interlinkages
    • 3.1 Large Exposures
    • 3.2 Dataset
    • 3.3 Network Topology
  • 4 Contagion Mapping (CoMap) Methodology
    • 4.1 Modelling Framework
    • 4.2 Calibration
    • 4.3 Model Outputs
  • 5 Results
    • 5.1 Main Findings on Systemicity
    • 5.2 Fragilities in the System
    • 5.3 Bank-Specific Calibration
    • 5.4 Macro Stress Test Scenarios
  • 6. Sensitivity Analysis
    • 6.1 Default threshold
    • 6.2 Capital base
    • 6.3 Liquidity dynamics
    • 6.4 Network structure
    • 6.5 Parameter interaction
    • 6.6 Market-based measures
  • 7. Macroprudential Policy Calibration
    • 7.1 Fine-turning prudential measures
    • 7.2 Policy discussion
  • 8. Conclusion
  • References
  • Appendix

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