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June 20, 2013 ESRB Risk Dashboard

June 20, 2013 ESRB Risk Dashboard

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Published by calibrateconfidence
June 20, 2013 ESRB Risk Dashboard
June 20, 2013 ESRB Risk Dashboard

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Published by: calibrateconfidence on Jun 27, 2013
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09/07/2013

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ESRB RISK DASHBOARD
Cut-off date: 3 June 2013
DISCLAIMER: The risk dashboard is a set of quantitative indicators and not an early-warning system.Users may not rely on the indicators as a basis for any mechanical form of inference.
 
3
ESRB risk dashboard • J u n e 2 0 1 3 
Table of contents
 
1. Interlinkages and composite measures of systemic risk5
 1.1 Composite indicator of systemic stress (CISS)51.2 Probability of a simultaneous default by two or more large and complex banking groups51.3 Average contribution of individual institutions to overall systemic risk using CoVaR (EU financial system)61.4 Co-movements of sovereign credit default swap (CDS) spreads61.5 Cross-border claims of banks (international banking statistics)7 
2. Macro risk8
 2.1 Current and forecast real GDP growth82.2 Domestic credit-to-GDP gap82.3 Current account balance-to-GDP ratio92.4 Unemployment rate92.5 General government debt-to-GDP ratio102.6 General government deficit-to-GDP ratio102.7 Credit default swap premia on sovereign debt in selected EU countries112.8 Sovereign debt redemptions112.9 Householdsdebt-to-gross disposable income ratio122.10 Economic sentiment indicator122.11 Global PMI output and industrial production132.12 Gold and Brent crude oil prices132.13 Non-financial corporationsdebt-to-GDP ratio14 
3. Credit risk15
 3.1 Residential property prices15a) Estimates of the over/undervaluation of residential property prices in selected EU countries15b) Change in nominal residential property prices153.2 Foreign currency loans in the EU16a) Share in total loans and annual growth rates16b) Foreign currency loans, broken down by domestic counterpart sector163.3 Yields on euro area non-financial corporate bonds, broken down by rating class 173.4 Lending spreads of monetary financial institutions - loans to non-financial corporations and households 173.5 Changes in credit standards for residential mortgage loans183.6 Changes in credit standards for loans to large enterprises18 
4. Funding and liquidity19
 4.1 Interbank interest rate spreads194.2 Financial market liquidity indicator for the euro area194.3 EUR/USD cross-currency basis swap spreads194.4 Loan-to-deposit ratio for a sample of large EU banking groups194.5 Pattern of credit institutionsliabilities20a) Liabilities of euro area credit institutions, broken down by instrument20b) Liabilities of EU credit institutions by country - historical distribution of annual growth rates204.6 Share of central bank funding in credit institutionsliabilities214.7 Money markets and the Eurosystems standing facilities214.8 Maturity profile of EU banking groupsoutstanding long-term debt22 
5. Market risk 23
 5.1 Global risk aversion indicator235.2 Equity indices24a) Equity indices, broken down by market24b) Equity indices, broken down by sector24c) Equity implied volatility indices: S&P 500 and Euro Stoxx 50245.3 Price/earnings ratio of equity indices, broken down by sector255.4 Short-term interest rates - implied volatility: three months - one year255.5 Long-term interest rates - implied volatility: three months - ten years255.6 Exchange rate volatility25

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