World Economic and Financial Surveys

Summary Version

Global Financial Stability Report Responding to the Financial Crisis and Measuring Systemic Risk

出版日期：April 2009

出版：International Monetary Fund

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Preface ix
Executive Summary xi
Chapter 1. Stabilizing the Global Financial System and Mitigating Spillover Risks 1
A. Global Financial Stability Map 1
B. Global Deleveraging and its Consequences 4
C. The Crisis has Engulfed Emerging Markets 8
D. The Deteriorating Outlook for Household and Corporate Defaults in Mature
Markets and Implications for the Financial System 23
E. Stability Risks and the Effectiveness of the Policy Response 32
F. Costs of Official Support, Potential Spillovers, and Policy Risks 44
Annex 1.1. Global Financial Stability Map: Construction and Methodology 49
Annex 1.2. Predicting Private “Other Investment” Flows and Credit Growth in
Emerging Markets 58
Annex 1.3. Spillovers Between Foreign Banks and Emerging Market Sovereigns 60
Annex 1.4. Debt Restructuring in Systemic Crises 64
Annex 1.5. Methodology for Estimating Financial Writedowns 67
References 72
Chapter 2. Assessing the Systemic Implications of Financial Linkages
Summary
Four Methods of Assessing Systemic Linkages
How Regulators Assess Systemic Linkages
Policy Reflections
Annex 2.1. Default Intensity Model Estimation
References
Chapter 3. Detecting Systemic Risk
Summary
What Constitutes “Systemic” Risk?
“Fundamental” Characteristics of Intervened and Nonintervened Financial
Institutions
Market Perceptions of Risk of Financial Institutions
Identifying Systemic Risks Through Regime Shifts
Role of Global Market Conditions During Episodes of Stress
Policy Implications
Conclusions
Annex 3.1. Financial Soundness Indicators
Annex 3.2. Groups of Selected Financial Institutions
Annex 3.3. List of Intervened Financial Institutions
References

Glossary
Annex: Summing Up by the Acting Chair
Statistical Appendix
Boxes
1.1. Near-Term Financial Stability Challenges and Policy Priorities 2
1.2. Cross-Border Exposures and Financial Interlinkages within Europe 12
1.3. Effects of the Global Financial Crisis on Trade Finance: The Case of
Sub-Saharan Africa 15
1.4 Enhanced IMF Lending Capabilities and Implications for Emerging Markets 20
1.5. Modeling Corporate Bond Spreads: A Capital Flows Framework 29
1.6. Recent Unconventional Measures of Selected Major Central Banks 41
1.7. Forecasts for Charge-Offs on U.S. Bank Loans 71
2.1. Network Simulations of Credit and Liquidity Shocks
2.2. Quantile Analysis
2.3. Default Intensity Model Specification
2.4. Basics of Over-the-Counter Counterparty Credit Risk Mitigation
2.5. A Central Counterparty as a Mitigant to Counterparty Risk in the Credit
Default Swap Markets
3.1. Modeling Risk-Adjusted Balance Sheets: The Contingent Claims Approach
3.2. Option-iPoD Measures of Risk Across Financial Institutions
3.3. Higher Moments and Multivariate Dependence of Implied Volatilities from
Equity Options as Measures of Systemic Risk
3.4. The Consistent Information Multivariate Density Optimizing Approach
3.5. Spillovers to Emerging Markets: A Multivariate GARCH Analysis
3.6. The Transformation of Bank Risk into Sovereign Risk—The Tale of Credit
Default Swaps
Tables
1.1. Macro and Financial Indicators in Selected Emerging Market Countries 10
1.2. Potential Writedowns and Capital Needs for Emerging Market Banks by Region 17
1.3. Estimates of Financial Sector Potential Writedowns (2007–10) as of April 2009 28
1.4. Bank Equity Requirement Analysis 34
1.5. Policy Measures to Address Troubled Assets 37
1.6. Tentative Easing in Credit Conditions 38
1.7. Bank Wholesale Financing and Public Funding Support 39
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CONTENTS
1.8. Public Debt and Stabilization Costs, end-2009 44
1.9. Mature Market Sovereign Credit Default Swap Spreads and Debt Outstanding 45
1.10. Expected Guaranteed Debt Issuance 46
1.11. Changes in Risks and Conditions Since the October 2008 Global Financial
Stability Report 49
1.12. Distress Dependence Matrices: Sovereigns and Banks 62
1.13. Estimated Bank Portfolio Composition by Type of Asset 68
1.14. Estimated Bank Portfolio Composition by Origin of Assets 69
1.15. Estimated Regional Distribution of Bank Writedowns and Cumulative Loss Rates 70
2.1. Taxonomy of Financial Linkages Models
2.2. Simulation 1 Results (Credit Channel)
2.3. Post-Simulation 1 Capital Losses
2.4. Simulation 2 Results (Credit and Funding Channel)
2.5. Post-Simulation 2 Capital Losses
2.6. Conditional Co-Risk Estimates, March 2008
2.7. Conditional Co-Risk Estimates, September 2008
2.8. Distress Dependence Matrix
2.9. Summary of Various Methodologies: Limitations and Policy Implications
3.1. Selected Indicators on Fundamental Characteristics in Financial Institutions
3.2. Taxonomy of Credit Risk Models
3.3. Correlations Among 45 Financial Institutions During Different Stress Periods
3.4 . Cluster Analysis
3.5. Summary of Various Methodologies: Limitations and Policy Implications
Figures
1.1. Global Financial Stability Map 3
1.2. Heat Map: Developments in Systemic Asset Classes 4
1.3. Ratio of Debt to GDP Among Select Advanced Economies 4
1.4. Bank Credit to the Private Sector 5
1.5. Private Sector Credit Growth 5
1.6. Bank for International Settlements Reporting Banks: Cross-Border Liabilities and
Exchange-Rate-Adjusted Changes 6
1.7. Bank for International Settlements Reporting Countries: Cross-Border Assets as a
Proportion of Total Assets 6
1.8. Emerging Market Net Private Capital Flows 7
1.9. Net Foreign Equity Investment in Emerging Economies 7
1.10. Emerging Market Hedge Funds: Estimated Assets and Net Asset Flows 8
1.11. Heat Map: Developments in Emerging Market Systemic Asset Classes 8
1.12. Emerging Europe: Real Credit Growth to the Private Sector and Output 9
1.13. Emerging Market Performance of Credit Default Swap Spreads and Equity Prices 9
1.14. Cross-Currency Basis Swap Spreads 11
1.15. Emerging Market Real Credit Growth 16
1.16. External Debt Refinancing Needs 16
1.17. Emerging Market Corporate Bond Spreads 17
1.18. Aggregate Emerging Markets Bond Index Global Spread 18
1.19. Distress Dependence Between Emerging Market Sovereigns and Advanced
Country Banks 18
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CONTENTS
1.20. U.S. Loan Charge-Off Rates: Baseline 23
1.21. Delinquency Rates on U.S. Residential Mortgage Loans 23
1.22. Spreads on Commercial Mortgage-Backed Securities 24
1.23. Spreads on Consumer Credit Asset-Backed Securities 25
1.24. Global Corporate Default Rates 25
1.25. Average Recovery Rates on Defaulted U.S. Bonds 26
1.26. Corporate Credit Default Swap Spreads 26
1.27. Estimates of Economic Growth and Financial Sector Writedowns 27
1.28. U.S. and European Bank and Insurance Company Market Capitalization,
Writedowns, and Capital Infusions 32
1.29. U.S. and European (including U.K.) Bank Earnings and Writedowns 35
1.30. Commercial Bank Loan Charge-Offs 35
1.31. European Securitization Gross Issuance 38
1.32. Refinancing Gap of Global Banks 39
1.33. Pension Funds of Large U.S. and European Companies: Estimated Funding Levels 40
1.34. Insurance Sector Credit Default Swaps Spreads 40
1.35. Large Economy Credit Default Swap Spreads 46
1.36. Benchmark Five-Year Government Bonds 46
1.37. Swap Spreads of Government-Guaranteed Bonds 47
1.38. Global Financial Stability Map: Monetary and Financial Conditions 50
1.39. Global Financial Stability Map: Risk Appetite 52
1.40. Global Financial Stability Map: Macroeconomic Risks 53
1.41. Global Financial Stability Map: Emerging Market Risks 54
1.42. Global Financial Stability Map: Credit Risks 56
1.43. Global Financial Stability Map: Market and Liquidity Risks 57
1.44. Impulse Responses 59
1.45. Net Private Other Investment Flows to Emerging Markets 59
1.46. Emerging Market Real Credit Growth 60
1.47. Emerging Market GDP Growth 60
1.48. Default Probabilities Implied by Credit Default Swap Pricing 63
1.49. Distress Dependence 63
2.1. Network Analysis: A Diagrammatic Representation of Systemic Interbank
Exposures
2.2. Network Analysis: Number of Induced Failures
2.3. Network Analysis: Country-by-Country Vulnerability Level
2.4. Network Analysis: Contagion Path Triggered by the U.K. Failure
2.5. AIG and Lehman Brothers Default Risk Codependence
2.6. A Diagrammatic Depiction of Co-Risk Feedbacks
2.7. U.S. and European Banks: Tail-Risk Dependence Devised from Equity Option
Implied Volatility, 2006–08
2.8. Legend of Trivariate Dependence Simplex
2.9. Annual Number of Corporate and Banking Defaults
2.10. Actual and Fitted Economy Default Rates
2.11. Default Rate Probability and Number of Defaults
2.12. Quarterly One-Year-Ahead Forecast Value-at-Risk at 95 Percent Level
2.13. Capital Adequacy Ratios (CAR) After Hypothetical Credit Shocks
2.14. Basic Structure of the Systemic Risk Monitor Model
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CONTENTS
vii
2.15. RAMSI Framework
3.1. Capital-to-Assets Ratio
3.2. Ratio of Short-Term Debt to Total Debt
3.3. Return on Assets
3.4. Dendrogram
3.5. U.S. and European Banks: Joint Tail Risk of Implied Volatilities
3.6. Higher Moments and Multivariate Dependence of Implied Equity Volatility
3.7. Joint Probability of Distress (JPoD) and Banking Stability Index (BSI):
Core 2 Group
3.8. Joint Probability of Distress (JPoD) and Banking Stability Index (BSI): By
Geographic Region
3.9. Daily Percentage Change: Joint and Average Probability of Distress, Core 2 Group
3.10. Probability of Cascade Effects
3.11. Markov-Regime Switching ARCH Model: Joint Probability of Distress and
Banking Stability Index
3.12. Euro-Dollar Forex Swap
3.13. Markov-Switching ARCH Model of VIX
3.14. Markov-Switching ARCH Model of TED Spread
3.15. Markov-Switching ARCH Model of VIX, TED Spread, and Core 2 Banking
Stability Index