Market Based Structural Top Down Stress Tests Of The Banking System

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Market-Based Structural Top-Down Stress Tests of the Banking System

Mr.Jorge A. Chan-Lau
Market Based Structural Top Down Stress Tests of the Banking System Book PDF

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 18 pages
File Size : 44,8 Mb
Release : 2013-04-10
Category : Business & Economics
ISBN : 9781484384923

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Market-Based Structural Top-Down Stress Tests of the Banking System by Mr.Jorge A. Chan-Lau Pdf

Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

Stress Testing at the IMF

Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Stress Testing at the IMF Book PDF

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 44,6 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

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Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Republic of Poland

International Monetary Fund. Monetary and Capital Markets Department
Republic of Poland Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 58 pages
File Size : 40,9 Mb
Release : 2013-08-15
Category : Business & Economics
ISBN : 9781484373682

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Republic of Poland by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note discusses results of stress testing of the banking sector in Poland. The Polish banking system is well capitalized and liquid, as confirmed by stress tests results. Polish banks are, in aggregate, resilient even under severe adverse scenarios. Some small banks could fail to meet minimum regulatory capital and liquidity requirements in these scenarios, but with little impact on the overall banking system. Tests showed that only small banks, together representing up to 30 percent of the assets in the system, may have problems meeting the Basel III capital requirements in the recession scenarios.

Stress-testing the Banking System

Mario Quagliariello
Stress testing the Banking System Book PDF

Author : Mario Quagliariello
Publisher : Cambridge University Press
Page : 355 pages
File Size : 43,8 Mb
Release : 2009-10-15
Category : Business & Economics
ISBN : 9781139482837

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Stress-testing the Banking System by Mario Quagliariello Pdf

Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

United States

International Monetary Fund. Monetary and Capital Markets Department
United States Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 143 pages
File Size : 49,5 Mb
Release : 2015-07-07
Category : Business & Economics
ISBN : 9781513591506

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United States by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note discusses key findings of stress testing on the United States under the Financial Sector Assessment Program. Several stress tests were used to quantify the potential impacts of risks and vulnerabilities in banking and non-banking sectors. The stress tests run by the authorities and by companies under the Dodd-Frank Act (DFA) suggest that most large bank holding companies (BHCs) are resilient to shocks similar to the last crisis. For BHCs, the IMF staff’s solvency stress tests over the initial stressed period are largely in line with the DFA stress testing results, and suggest that the system is generally robust, although some BHCs would fall below the hurdle rate in the stressed environment.

Macrofinancial Stress Testing - Principles and Practices—Background Material

International Monetary Fund. Monetary and Capital Markets Department
Macrofinancial Stress Testing Principles and Practices Background Material Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 44 pages
File Size : 49,6 Mb
Release : 2012-08-29
Category : Business & Economics
ISBN : 9781498339933

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Macrofinancial Stress Testing - Principles and Practices—Background Material by International Monetary Fund. Monetary and Capital Markets Department Pdf

Staff conducted a survey of stress testing practices among selected national central banks and supervisory authorities. The online survey was undertaken in November 2011 as part of the preparatory work for the paper on ?Macrofinancial Stress Testing: Principles and Practices. The survey focused on stress testing for banks, which is more widespread and better established—and practices are therefore easier to compare across countries—but also included questions on stress testing for nonbank financial institutions.

Stress Testing Financial Systems

Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Stress Testing Financial Systems Book PDF

Author : Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Publisher : International Monetary Fund
Page : 18 pages
File Size : 55,6 Mb
Release : 2004-09-27
Category : Business & Economics
ISBN : 158906402X

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Stress Testing Financial Systems by Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers Pdf

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The booklet provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Stress Testing Financial Systems

Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Stress Testing Financial Systems Book PDF

Author : Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Publisher : International Monetary Fund
Page : 39 pages
File Size : 48,5 Mb
Release : 2004-07-01
Category : Business & Economics
ISBN : 9781451855012

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Stress Testing Financial Systems by Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack Pdf

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Russian Federation

International Monetary Fund
Russian Federation Book PDF

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 44 pages
File Size : 46,6 Mb
Release : 2011-11-29
Category : Business & Economics
ISBN : 9781463925901

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Russian Federation by International Monetary Fund Pdf

This technical note focuses on the stress testing exercise in 2010 for the financial sector assessment program based on the existing approaches of the Central Bank of Russia, as well as a separate bottom-up exercise. The tests covered broad ranges of risk factors. The single factor tests examined instantaneous impact of credit, concentration, market, liquidity, and interbank contagion risks. The results of the stress tests suggested that the Russian banking system is, on the whole, resilient to a variety of macroeconomic and financial shocks.

Sweden

International Monetary Fund. Monetary and Capital Markets Department
Sweden Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 93 pages
File Size : 53,5 Mb
Release : 2017-10-05
Category : Business & Economics
ISBN : 9781484322475

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Sweden by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note explains the stress testing approach of the 2016 Financial Sector Assessment Program in assessment of risk in the Swedish financial sector and provides the results of the tests. Stress tests covered three major segments of the domestic financial sector. The resilience of the Swedish banking system was tested against solvency, liquidity, and contagion risks. The solvency stress test suggests that banks would be resilient to severe economic distress. Bank liquidity stress tests suggest that banks could withstand severe funding and market liquidity shocks, but there are pockets of vulnerability. The overall stress testing exercise suggests that there is room for improvement in the individual components of authorities’ stress testing framework.

Handbook of Financial Stress Testing

J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer
Handbook of Financial Stress Testing Book PDF

Author : J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer
Publisher : Unknown
Page : 729 pages
File Size : 44,5 Mb
Release : 2022-04-14
Category : Mathematics
ISBN : 9781108830737

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Handbook of Financial Stress Testing by J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer Pdf

Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.

Ireland

International Monetary Fund. Monetary and Capital Markets Department
Ireland Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 71 pages
File Size : 45,9 Mb
Release : 2016-09-29
Category : Business & Economics
ISBN : 9781475542226

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Ireland by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note discusses the results of the stress testing carried out to examine the banking system in Ireland. These tests examined the resilience of the Irish banking system to solvency, liquidity, and contagion risks. The results revealed several sources of vulnerability, although these remain manageable at the macro level. The global liquidity stress tests reveal that some banks in the system would be exposed to liquidity risks in the event of large deposit withdrawals, under a more severe scenario than the Basel III Liquidity Coverage Ratio metrics. By contrast, additional counterbalancing capacity would allow banks to cope with net outflows in every maturity bucket.

Macroprudential Solvency Stress Testing of the Insurance Sector

Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Macroprudential Solvency Stress Testing of the Insurance Sector Book PDF

Author : Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Publisher : International Monetary Fund
Page : 84 pages
File Size : 51,5 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498324557

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Macroprudential Solvency Stress Testing of the Insurance Sector by Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit Pdf

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

United Kingdom

International Monetary Fund. Monetary and Capital Markets Department
United Kingdom Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 91 pages
File Size : 48,7 Mb
Release : 2016-06-17
Category : Business & Economics
ISBN : 9781484394120

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United Kingdom by International Monetary Fund. Monetary and Capital Markets Department Pdf

This paper discusses how Financial Sector Assessment Program (FSAP) stress test assesses the resilience of the banking sector as a whole rather than the capital adequacy of individual institutions. The FSAP approach to stress testing is essentially macroprudential: it focuses on resilience of the broader financial system to adverse macro-financial conditions rather than on resilience of individual banks to specific shocks. This test ensures consistency in macroeconomic scenarios and metrics across firms to facilitate the assessment of the banking system as a whole. The stress test analysis is intended to help country authorities to identify key sources of systemic risk in the banking sector and inform macroprudential policies to enhance its resilience to absorb shocks.

Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses

Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto
Macroprudential Stress Tests A Reduced Form Approach to Quantifying Systemic Risk Losses Book PDF

Author : Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto
Publisher : International Monetary Fund
Page : 45 pages
File Size : 42,9 Mb
Release : 2018-03-09
Category : Business & Economics
ISBN : 9781484346877

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Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses by Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto Pdf

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities’ probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets’ perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers’ default.