Switzerland: Financial Sector Stability Assessment; imf country Report 14/143; April 16, 2014

Vulnerabilities due to interconnectedness among Swiss and foreign G-SIFIs 
41. Market-based indicators show that contagion between Swiss and foreign SIFIs have 
decreased (Figure 10). The vulnerability of Swiss G-SIFIs to contagion from other G-SIFIs was 
relatively high at the outset of the GFC. Uncertainty related to the risk quality of assets of these 
institutions (e.g., mortgage-backed securities) and, in some cases, high dependence on wholesale 
funding, led to the increase of their credit default swaps (CDS) spreads and other market-implied 
credit risk measures. However, during the height of the euro area periphery stress period, Swiss G-
SIFIs exhibited lower vulnerability than those of other countries (e.g., those with larger holdings of 
euro area periphery sovereign debt). Nevertheless, owing to their large exposures abroad, the 
Swiss G-SIFIs remain susceptible to external factors. Decreased vulnerabilities are consistent with 
recent increases in capital ratios (Figure 10). 
Figure 10. Switzerland: Contagion Risk Analysis of Swiss and Global G-SIFIs 
(In percent) 
 
Source: IMF staff calculations. 
 
 
8
Contagion and systemic risk were assessed by the VI and the MCSR. The VI indicates the probability of distress of 
a bank conditional to distress on other banks in the system. The MCSR from an individual bank indicates the 
percentage contribution to systemic losses attributable to the individual bank. The MCSR takes into account (i) the 
interconnectedness (direct and indirect) of the banks with other banks in the system and (ii) the relative size of the 
financial institution. 
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Global Financial Crisis
European Sovereign Debt Crisis
(Jan-07 to Dec-09)
(Jan-10 to Dec-12)

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SWITZERLAND
INTERNATIONAL MONETARY FUND