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Pilot project on concentration and distribution measures for a selected set of financial soundness indicators

Author: Joe Crowley; Plapa Koukpamou; Elena Loukoianova; André Mialou; International Monetary Fund. Statistics Department,
Publisher: [Washington, D.C.] : International Monetary Fund, 2016. ©2016
Series: IMF working paper, WP/16/26.
Edition/Format:   eBook : Document : International government publication : English
Summary:
This paper reports the main findings of a pilot project launched in July 2014 by the IMF Statistics Department to test augmenting the IMF financial soundness indicators (FSIs) with concentration and distribution measures (CDMs) to capture tail risks, concentrations, variations in distributions, and the volatility of indicators over time that simple averages can miss. Volunteer participants reported a trial set of  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Joe Crowley; Plapa Koukpamou; Elena Loukoianova; André Mialou; International Monetary Fund. Statistics Department,
OCLC Number: 940576497
Notes: "Prepared by Joseph Crowley, Plapa Koukpamou, Elena Loukoianova, and Andre Mialou."
"February 2016."
"Statistics Department."
Description: 1 online resource (25 pages) : illustrations.
Contents: Cover; Contents; I. Introduction; II. Modalities of the Pilot Project; A. Indicators and Reporting Thresholds; B. Definitions of CDMs; Concentration; Measures of Dispersion; III. Results of the Pilot Project; IV. Characteristics of the Submitted Data; V. Possible Refinements to the CDM Reporting; A. Additional CDMs; B. Minimum Number of Institutions; VI. Possible Way Forward; References; Tables; 1. Pilot Project: Subset of Financial Soundness Indicators; 2. Pilot Project: Concentration and Distribution Measures; 3: List of New FSIs; Figures; 1. Participation in the Pilot Project 2. Number of Participating Countries for Selected CDMs3. Distribution of the Minimum Values of Tier 1 Capital to Risk-Weighted Assets; 4. Distributions of the Maximum Values of NPLs to Total Gross Loans; 5. Distribution of Minimum Values of Tier 1 Capital to RWA by Country; 6. Distribution of the number of DTs Sector in Participating Countries; Appendix; I. FSIRG Composition
Series Title: IMF working paper, WP/16/26.
Responsibility: prepared by Joseph Crowley, Plapa Koukpamou, Elena Loukoianova and Andre Mialou.

Abstract:

This paper reports the main findings of a pilot project launched in July 2014 by the IMF Statistics Department to test augmenting the IMF financial soundness indicators (FSIs) with concentration and distribution measures (CDMs) to capture tail risks, concentrations, variations in distributions, and the volatility of indicators over time that simple averages can miss. Volunteer participants reported a trial set of CDMs to assess analytical usefulness and identify concerns such as confidentiality and reporting burden. The results of the pilot suggests that CDMs can help detect financial sector risks, justifying the additional reporting burden but that further input from participating countries and potential data users should be sought; indeed further refinement of the reporting requirements and the CDMs themselves may be needed. --Abstract.

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