Data needs for monitoring systemically important institutions Maarten Gelderman Head Macroprudential Analysis What data do we need to form a better picture of the.
Download ReportTranscript Data needs for monitoring systemically important institutions Maarten Gelderman Head Macroprudential Analysis What data do we need to form a better picture of the.
Data needs for monitoring systemically important institutions Maarten Gelderman Head Macroprudential Analysis What data do we need to form a better picture of the underlying health of systemically important financial institutions? What improvements in disclosure are needed to provide these data? “Late” warning signals • • • • Delinquencies Provisioning Risk weights Google trends and similar statistics Risk drivers • • • • • Build up of leverage Build up of mismatches Build up of interlinkages/risk concentrations Herding Increasing reliance on bail-out » Liquidity » Solvency • Reverse approach: return statistics? Building up leverage • Does not equal leverage ratio » Off balance » Inherent leverage of instruments » Trading book/hedges • Leverage interacts with interlinkages » Collateral » Guarantees • Gross exposure measures • Indicators of “risk reduction” due to common factors • Note: in the end leverage of the system is more relevant than leverage of individual institutions Herding • • • • Underestimation of risk Underpricing of risk Underpricing of liquidity Risk concentrations across balance sheets • Note: market data may be used to support out case An example Correlation moderate and stable Volatility low and stable Reliance on bail-out • • • • Size/share of individual markets Reductions in franchise value Composition of capital Interlinkages between financial institutions Wrap-up • Challenging • View across institutions needed • View across assets (and other risk concentrations) needed • View on markets needed?