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A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)

Author: Fabio Cortes; Peter Lindner; Miguel A Segoviano Basurto; Sheheryar Malik; International Monetary Fund.
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Series: IMF Working Papers; Working Paper, no. 18/14.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print Version:
Cortes, Fabio.
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN).
Washington, D.C. : International Monetary Fund,2018
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Fabio Cortes; Peter Lindner; Miguel A Segoviano Basurto; Sheheryar Malik; International Monetary Fund.
ISBN: 148433860X 9781484338605
OCLC Number: 1034919571
Notes: Available in PDF, ePUB, and Mobi formats on the Internet.
Description: 1 online resource (53 pages).
Contents: Cover; Contents; Glossary; I. Introduction; II. Channels of Interconnectedness; A. Investment Funds; B. Hedge Fund Sector; C. Insurance Sector; D. Pension Funds; III. SyRIN: A Comprehensive Multi-sector Tool; A. Tail Risk Indicators; B. Interconnectedness Indicators; C. Systemic Loss Indicators; IV. A Tool for Financial Analysis; A. Implementation; B. Tool for Comprehensive Analysis; C. SyRIN: A Tool for Guiding Deeper Analysis, and Related Policy Recommendations; V. Conclusions; References; Tables; 1. Distress Dependence Matrix; Figures; 1. Asset Liquidation and Direct Exposure Channels. 2. Asset Liquidation and Direct Exposure Channels3. Holdings of Nonbank Financial Institutions as of 2016; 4. US Funds as of 2016Q4; 5. Channels for Hedge Fund Distress Transmission; 6. Holdings of US Insurance Companies as of 2016Q4; 7. US Pension Fund Holdings; 8. SyRIN: A Comprehensive Multi-Sector Tool; 9. Correlation of Returns: High Yield Mutual Funds and ETFs vs. the High Yield Index; 10. PoDs Funds; 11. Systemic Risk Index; 12. Financial Stability Index; 13. Marginal Contribution to Systemic Risk as of 2013Q4; 14. Increase in MCSR. 14. Contributions to Distress Vulnerability of the Banking Sector16. Contributions to Banking Sector Distress Vulnerability as of 1Q2014; 17. Contributions to Insurance Sector Distress Vulnerability; 18. Contributions to Distress Vulnerability of the Banking (left) and Insurance (right) Sectors as at January 2008 and March 2014; 19. Comparison of Systemic Risk Level with Contribution to Banking Sector Distress Vulnerability; 20. Comparing Aggregate Systemic Risk level with Contribution to Insurance Sector Distress Vulnerability. 21. Accommodative Monetary Policies Have Encouraged Greater Risk-Taking22. Days Required for Full Liquidation; 23. The Rise of Passive Investment in US Equity Markets; Appendix; I. Inputs for Implementation; Appendix Tables; 1. Input Series for Portfolio Reconstruction; 2. Input Series for Total Asset Data.
Series Title: IMF Working Papers; Working Paper, no. 18/14.
Other Titles: IMF eLibrary.
Responsibility: Fabio Cortes.

Abstract:

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.

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