Abstract | Keywords | Export | Availability | Bookmark

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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.

Risk assessment --- Analysis, Risk --- Assessment, Risk --- Risk analysis --- Risk evaluation --- Evaluation --- Data processing. --- Banks and Banking --- Finance: General --- Industries: Financial Services --- Mathematical Methods --- Econometric and Statistical Methods: Other --- Model Evaluation and Selection --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Business Fluctuations --- Cycles --- Interest Rates: Determination, Term Structure, and Effects --- Financial Markets and the Macroeconomy --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- General Financial Markets: Government Policy and Regulation --- Finance --- Banking --- Mutual funds --- Insurance companies --- Systemic risk --- Commercial banks --- Hedge funds --- Financial institutions --- Financial sector policy and analysis --- Financial risk management --- Banks and banking --- Financial services industry --- United States