01787cas a2200241 a 4500 AALejournalIMF011690 230101c9999 xx r poo 0 0eng d 5.00 USD 9781463936471 1018-5941 BD-DhAAL BD-DhAAL International Monetary Fund. Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach. Washington, D.C. : International Monetary Fund, 2012. 1 online resource (36 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 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. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2012/046 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/046/001.2012.issue-046-en.xml IMF e-Library