1. Data needs for monitoring systemically important institutions
Maarten Gelderman
Head Macroprudential Analysis

2. 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?

3. “Late” warning signals
Delinquencies
Provisioning
Risk weights
Google trends and similar statistics

4. 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?

5. 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

6. 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

7. An example
Correlation moderate and stable
Volatility low and stable

8. Reliance on bail-out Size/share of individual markets
Reductions in franchise value
Composition of capital
Interlinkages between financial institutions

9. Wrap-up Challenging View across institutions needed
View across assets (and other risk concentrations) needed
View on markets needed?