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Chapter 1. Assessing Risks to Global Financial Stability 1
Global Financial Stability Map 1
Credit Deterioration—How Deep and Widespread? 4
Systemic Risks Have Risen Sharply 10
Will Emerging Markets Remain Resilient? 23
Credit Squeeze or Credit Crunch? 32
Immediate Policy Challenges 36
Annex 1.1. Global Financial Stability Map: Construction and Methodology 40
Annex 1.2. Methodology for Calculating Global Losses and Bank Exposures 46
References 53
Chapter 2. Structured Finance: Issues of Valuation and Disclosure 54
Valuation and Disclosure of Complex Structured Finance Products 55
The Role of Off-Balance-Sheet Entities 69
Conclusions and Outlook 80
Annex 2.1. The World According to GAAP 83
References 84
Chapter 3. Market and Funding Illiquidity: When Private Risk Becomes Public 86
The Nature of Market Liquidity Risks 87
Funding Liquidity Risks 87
Market and Funding Liquidity Dynamics 93
Liquidity Dynamics Since July 2007: An Empirical Investigation 95
The Role of Central Banks During Periods of Market and Funding Illiquidity 98
Central Banks’ Response to Liquidity Strains Since July 2007: An Empirical Investigation 102
Recommendations to Enhance Liquidity Risk Management 104
Conclusion 109
Annex 3.1. Liquidity Dynamics Since Summer 2007 109
References 115
Glossary 118
Annex: Summing Up by the Acting Chair 125
Statistical Appendix 129
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