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|z 9781463936471
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|a 1018-5941
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|c BD-DhAAL
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|a International Monetary Fund.
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|a Short-Term Wholesale Funding and Systemic Risk :
|b A Global Covar Approach.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2012.
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|a 1 online resource (36 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2012/046
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2012/046/001.2012.issue-046-en.xml
|z IMF e-Library
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