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Macroprudential due-diligence framework for shadow banking entities

Author

Listed:
  • Lukasz Prorokowski

    (Masaryk University, Institute of Financial Complex Systems)

Abstract

Addressing the need for greater transparency and control over the shadow banking system, this paper designs a macroprudential tool that serves to ensure greater financial stability through identifying and managing systemic risk posed by the shadow banking investment funds. In particular, the paper investigates potential crisis contagion channels within the shadow banking system by analysing the interconnectedness of the shadow banking investment funds and highlighting the links within the internal structures of the investment funds and securitisation vehicles, as well as external relationships with credit institutions. The paper proposes a due-diligence tool for monitoring and controlling the build-up of systemic risk posed by any shadow banking investment fund. This macroprudential tool serves as an early warning system against the growing systemic vulnerabilities of the shadow banking entities. Finally, the paper advises on efficient ways of sourcing, managing and reporting shadow banking data that ultimately address the issues of limited transparency of the shadow banking system.

Suggested Citation

  • Lukasz Prorokowski, 2020. "Macroprudential due-diligence framework for shadow banking entities," Bank i Kredyt, Narodowy Bank Polski, vol. 51(6), pages 587-612.
    • Handle: RePEc:nbp:nbpbik:v:51:y:2020:i:6:p:587-612
    as

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    File URL: https://bankikredyt.nbp.pl/content/2020/06/BIK_06_2020_01.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    shadow banking; systemic risk; interconnectedness; due-diligence; investment funds;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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