In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa....

This paper builds on a Technical Note produced as part of the IMF’s 2010 Financial Sector Assessment Program (FSAP) review of the United States. It addresses enterprise-wide oversight of financial groups, a key tool to mitigate systemic risk. Focusing on legal arrangements, it recommends...

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results...

This paper presents a technical note on Crisis Management Arrangements for the United States. The crisis has seen widespread systemic instability, large-scale fiscal support, and an increase in moral hazard. The lack of a formal systematic process for the assessment of risks may have contributed...

This 2008 Article IV Consultation highlights that problems in the housing and financial markets over the past year have combined to slow the United States’ economy substantially. As the residential investment downturn accelerated and national indices of housing prices started falling,...

In light of the uncertainties about valuation highlighted by the 2007-2008 market turbulence, this paper provides an empirical examination of the potential procyclicality that fair value accounting (FVA) could introduce in bank balance sheets. The paper finds that, while weaknesses in the FVA...

This paper examines why some financial stress episodes lead to economic downturns. The paper identifies episodes of financial turmoil using a financial stress index (FSI), and proposes an analytical framework to assess the impact of financial stress-in particular banking distress-on the real...