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

By Fabio Cortes, Peter Lindner, Sheheryar Malik, Miguel A. Segoviano

January 24, 2018

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Fabio Cortes, Peter Lindner, Sheheryar Malik, and Miguel A. Segoviano A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN), (USA: International Monetary Fund, 2018) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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 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.

Subject: Commercial banks, Financial institutions, Financial sector policy and analysis, Hedge funds, Insurance companies, Mutual funds, Systemic risk

Keywords: Asset, Asset class, Asset liquidation, Asset liquidation channel, Commercial banks, Commercial paper, Financial stability, Fixed income, Fund manager, Global, Hedge fund, Hedge funds, Illiquid assets, Insurance companies, Investment company, Investment company Act, Liability side, Margin requirement, Mutual fund, Mutual fund sector, Mutual funds, Shadow banks, Spillovers, Systemic risk, WP

Publication Details

Pages:

53
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2018/014
Stock No:

WPIEA2018014
ISBN:

9781484338605
ISSN:

1018-5941

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