01892cas a2200253 a 4500 AALejournalIMF000609 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451962659 1018-5941 BD-DhAAL BD-DhAAL Schumacher, Liliana. Central Bank Vulnerability and the Credibility of Commitments : A Value-at-Risk Approach to Currency Crises / Liliana Schumacher, Mario Blejer. Washington, D.C. : International Monetary Fund, 1998. 1 online resource (29 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students A loss of solvency increases central bank vulnerability, reducing the credibility of commitments to defend a nominal regime, including an exchange rate peg. This paper develops a methodology to assess central bank solvency and exposure to risk. The measure, based on Value-at-Risk, is frequently used to evaluate commercial risk. The paper emphasizes that the ability to sustain nominal commitments cannot be gauged by focusing only on selected accounts (such as reserves), but requires a comprehensive solvency and vulnerability analysis of the monetary authorities' complete portfolio (including off-balance-sheet operations). The suggested measure has powerful reporting value and its disclosure could improve monitoring of sovereign solvency risk. Mode of access: Internet Blejer, Mario. IMF Working Papers; Working Paper ; No. 1998/065 Full text available on IMF http://elibrary.imf.org/view/journals/001/1998/065/001.1998.issue-065-en.xml IMF e-Library