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Toward a global risk map

Author

Listed:
  • Stephen Cecchetti
  • Ingo Fender
  • Kostas Patrick McGuire
Abstract
Global risk maps are unified databases that provide risk exposure data to supervisors and the broader financial market community worldwide. We think of them as giant matrices that track the bilateral (firm-level) exposures of banks, non-bank financial institutions and other relevant market participants. While useful in principle, these giant matrices are unlikely to materialise outside the narrow and targeted efforts currently being pursued in the supervisory domain. This reflects the well known trade-offs between the macro and micro dimensions of data collection and dissemination. It is possible, however, to adapt existing statistical reporting frameworks in ways that would facilitate an analysis of exposures and build-ups of risk over time at the aggregate (sectoral) level. To do so would move us significantly in the direction of constructing the ideal global risk map. It would also help us sidestep the complex legal challenges surrounding the sharing or dissemination of firm-level data, and it would support a two-step approach to systemic risk monitoring. That is, the alarms sounded by the aggregate data would yield the critical pieces of information to inform targeted analysis of more detailed data at the firm- or market-level.

Suggested Citation

  • Stephen Cecchetti & Ingo Fender & Kostas Patrick McGuire, 2010. "Toward a global risk map," BIS Working Papers 309, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:309
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    References listed on IDEAS

    as
    1. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Risk Assessment for Banking Systems," Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
    2. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
    3. Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
    Full references (including those not matched with items on IDEAS)

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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Managing Risk and Complexity: Legal Entity Identifier
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-10-30 17:24:28

    Citations

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    Cited by:

    1. Borgioli, Stefano & Gouveia, Ana Cláudia & Labanca, Claudio, 2013. "Financial stability analysis: insights gained from consolidated banking data for the EU," Occasional Paper Series 140, European Central Bank.
    2. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260, National Bureau of Economic Research, Inc.
    3. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic risk in global banking: what can available data tell us and what more data are needed?," BIS Working Papers 376, Bank for International Settlements.
    4. Takáts, Előd & Temesvary, Judit, 2020. "The currency dimension of the bank lending channel in international monetary transmission," Journal of International Economics, Elsevier, vol. 125(C).
    5. Gareth Murphy & Robert Westwood, 2011. "Data gaps in the UK financial sector: some lessons learned from the recent crisis," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 28-44, Bank for International Settlements.
    6. Takáts, Előd & Temesvary, Judit, 2021. "How does the interaction of macroprudential and monetary policies affect cross-border bank lending?," Journal of International Economics, Elsevier, vol. 132(C).
    7. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    8. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8, Bank for International Settlements.
    9. Mr. Kalin I Tintchev, 2013. "Connected to Whom? International Interbank Borrowing During the Global Crisis," IMF Working Papers 2013/014, International Monetary Fund.
    10. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2013. "Leading indicators of crisis incidence: Evidence from developed countries," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 1-19.
    11. Előd Takáts & Judit Temesvary, 2017. "Can macroprudential measures make cross-border lending more resilient?," BIS Working Papers 683, Bank for International Settlements.
    12. Borgioli, Stefano & Gouveia, Ana Cláudia & Labanca, Claudio, 2013. "Financial stability analysis: insights gained from consolidated banking data for the EU," Occasional Paper Series 140, European Central Bank.
    13. Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
    14. Avdjiev, Stefan & Aysun, Uluc & Hepp, Ralf, 2019. "What drives local lending by global banks?," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 54-75.
    15. Mr. Thierry Tressel, 2010. "Financial Contagion Through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis," IMF Working Papers 2010/236, International Monetary Fund.
    16. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
    17. Fischer, Björn & Sandars, Patrick & Israël, Jean-Marc & Schubert, Aurel, 2013. "Statistics and indicators for financial stability analysis and policy," Occasional Paper Series 145, European Central Bank.
    18. Ingo Fender & Patrick McGuire, 2010. "Bank structure, funding risk and the transmission of shocks across countries: concepts and measurement," BIS Quarterly Review, Bank for International Settlements, September.
    19. Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
    20. Jan Babecký & Tomáš Havránek & Jakub Matìjù & Marek Rusnák & Kateøina Šmídková & Boøek Vašíèek, 2011. "Early Warning Indicators of Crisis Incidence: Evidence from a Panel of 40 Developed Countries," Working Papers IES 2011/36, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.

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    More about this item

    Keywords

    risk map; international banking; financial crises; yen carry trade; funding risk;
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