Stress Testing Corporate Balance Sheets In Emerging Economies

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Stress Testing Corporate Balance Sheets in Emerging Economies

Mr.Julian T. S. Chow
Stress Testing Corporate Balance Sheets in Emerging Economies Book PDF

Author : Mr.Julian T. S. Chow
Publisher : International Monetary Fund
Page : 18 pages
File Size : 53,9 Mb
Release : 2015-09-30
Category : Business & Economics
ISBN : 9781513599625

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Stress Testing Corporate Balance Sheets in Emerging Economies by Mr.Julian T. S. Chow Pdf

In recent years, firms in emerging market countries have increased borrowing, particularly in foreign currency, owing to easy access to global capital markets, prolonged low interest rates and good investment opportunities. This paper discusses the trends in emerging market corporate debt and leverage, and illustrates how those firms are vulnerable to interest rate, exchange rate and earnings shocks. The results of a stress test show that while corporate sector risk remains moderate in most emerging economies, a combination of macroeconomic and financial shocks could significantly erode firms’ ability to service debt and lead to higher debt at risk, especially in countries with high shares of foreign currency debt and low natural hedges.

Stress Testing Corporate Balance Sheets in Emerging Economies

Julian T. S. Chow
Stress Testing Corporate Balance Sheets in Emerging Economies Book PDF

Author : Julian T. S. Chow
Publisher : Unknown
Page : 18 pages
File Size : 47,8 Mb
Release : 2015
Category : Corporate debt
ISBN : 1513523074

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Stress Testing Corporate Balance Sheets in Emerging Economies by Julian T. S. Chow Pdf

In recent years, firms in emerging market countries have increased borrowing, particularly in foreign currency, owing to easy access to global capital markets, prolonged low interest rates and good investment opportunities. This paper discusses the trends in emerging market corporate debt and leverage, and illustrates how those firms are vulnerable to interest rate, exchange rate and earnings shocks. The results of a stress test show that while corporate sector risk remains moderate in most emerging economies, a combination of macroeconomic and financial shocks could significantly erode firms' ability to service debt and lead to higher debt at risk, especially in countries with high shares of foreign currency debt and low natural hedges.--Abstract.

Financial Stability and Stress Testing

Petr Jakubik
Financial Stability and Stress Testing Book PDF

Author : Petr Jakubik
Publisher : LAP Lambert Academic Publishing
Page : 144 pages
File Size : 55,6 Mb
Release : 2014-08-11
Category : Electronic
ISBN : 3659546984

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Financial Stability and Stress Testing by Petr Jakubik Pdf

Recent episodes of financial turmoil have intensified policy discussion and research on financial stability. This book elaborates on methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks. It further focuses on the link between the real and the financial sector as well as possible implications of household financial distress on the aggregate economy. It argues in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to the high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can be related to households' distress and have an impact on the aggregate economy via additional decrease in household consumption.

A Guide to IMF Stress Testing

Ms.Li L Ong
A Guide to IMF Stress Testing Book PDF

Author : Ms.Li L Ong
Publisher : International Monetary Fund
Page : 610 pages
File Size : 55,5 Mb
Release : 2014-12-23
Category : Business & Economics
ISBN : 9781484368589

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A Guide to IMF Stress Testing by Ms.Li L Ong Pdf

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).

Macrofinancial Stress Testing - Principles and Practices

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

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 67 pages
File Size : 52,8 Mb
Release : 2012-08-22
Category : Business & Economics
ISBN : 9781498340021

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

The recent financial crisis drew unprecedented attention to the stress testing of financial institutions. On one hand, stress tests were criticized for having missed many of the vulnerabilities that led to the crisis. On the other, after the onset of the crisis, they were given a new role as crisis management tools to guide bank recapitalization and help restore confidence. This spurred an intense debate on the models, underlying assumptions, and uses of stress tests. Current stress testing practices, however, are not based on a systematic and comprehensive set of principles but have emerged from trial-and-error and often reflect constraints in human, technical, and data capabilities.

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 : 43,5 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.

New Zealand

International Monetary Fund. Monetary and Capital Markets Department
New Zealand Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 79 pages
File Size : 43,7 Mb
Release : 2017-05-10
Category : Business & Economics
ISBN : 9781475599923

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New Zealand by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note discusses the results of stress testing of the banking sector and systemic risk analysis for New Zealand. The banking sector, which dominates the financial system, has significant exposure to real estate. A sharp decline in the real estate market, a prolonged period of low dairy prices, deterioration in global economic conditions, and a tightening in financial markets would adversely impact the system. Despite these risks, the banking system is resilient to severe shocks. Results of stress tests and sensitivity analysis indicate that the solvency and liquidity of the banking system can withstand adverse and severe shocks.

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 : 49,5 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.

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 : 53,6 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.

Debt-Related Vulnerabilities and Financial Crises - an Application of the Balance Sheet Approach to Emerging Market Countries

International Monetary Fund. Policy Development and Review Dept.,International Monetary Fund. Strategy, Policy, & Review Department
Debt Related Vulnerabilities and Financial Crises an Application of the Balance Sheet Approach to Emerging Market Countries Book PDF

Author : International Monetary Fund. Policy Development and Review Dept.,International Monetary Fund. Strategy, Policy, & Review Department
Publisher : International Monetary Fund
Page : 63 pages
File Size : 50,6 Mb
Release : 2004-01-07
Category : Business & Economics
ISBN : 9781498330275

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Debt-Related Vulnerabilities and Financial Crises - an Application of the Balance Sheet Approach to Emerging Market Countries by International Monetary Fund. Policy Development and Review Dept.,International Monetary Fund. Strategy, Policy, & Review Department Pdf

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Next Generation Balance Sheet Stress Testing

Mr.Christian Schmieder,Mr.Claus Puhr,Maher Hasan
Next Generation Balance Sheet Stress Testing Book PDF

Author : Mr.Christian Schmieder,Mr.Claus Puhr,Maher Hasan
Publisher : International Monetary Fund
Page : 44 pages
File Size : 51,9 Mb
Release : 2011-04-01
Category : Business & Economics
ISBN : 9781455226054

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Next Generation Balance Sheet Stress Testing by Mr.Christian Schmieder,Mr.Claus Puhr,Maher Hasan Pdf

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.

The Global Bank Stress Test

Xiaodan Ding,Mr. Marco Gross,Mr. Ivo Krznar,Mr. Dimitrios Laliotis,Mr. Fabian Lipinsky,Pavel Lukyantsau,Mr. Thierry Tressel
The Global Bank Stress Test Book PDF

Author : Xiaodan Ding,Mr. Marco Gross,Mr. Ivo Krznar,Mr. Dimitrios Laliotis,Mr. Fabian Lipinsky,Pavel Lukyantsau,Mr. Thierry Tressel
Publisher : International Monetary Fund
Page : 40 pages
File Size : 40,6 Mb
Release : 2022-04-06
Category : Business & Economics
ISBN : 9798400204524

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The Global Bank Stress Test by Xiaodan Ding,Mr. Marco Gross,Mr. Ivo Krznar,Mr. Dimitrios Laliotis,Mr. Fabian Lipinsky,Pavel Lukyantsau,Mr. Thierry Tressel Pdf

This paper presents the framework underlying the Global Bank Stress Test (GST) and applies it to recent data and global scenarios to illustrate the usefulness of the framework in assessing the potential impact of global shocks on banks around the world. The results of this latest update of the GST continue to point to relatively lower levels of resilience of banks in emerging market economies (EMs) than in advanced economies (AEs).

Using the Balance Sheet Approach in Surveillance

Mr.Johan Mathisen,Mr.Anthony J. Pellechio
Using the Balance Sheet Approach in Surveillance Book PDF

Author : Mr.Johan Mathisen,Mr.Anthony J. Pellechio
Publisher : International Monetary Fund
Page : 46 pages
File Size : 49,6 Mb
Release : 2007-03-29
Category : Business & Economics
ISBN : 9781589066045

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Using the Balance Sheet Approach in Surveillance by Mr.Johan Mathisen,Mr.Anthony J. Pellechio Pdf

A distinguishing feature of emerging market crises in recent years has been the sudden disruption in the capital accounts of the economy. These crises have highlighted the need for closer attention to macroeconomic vulnerabilities in sectoral balance sheets. This book enhances application of the balance sheet approach to surveillance by taking advantage of new data sets that provide detailed, frequent, and timely financial statistics.

The Role of Corporate, Legal and Macroeconomic Balance Sheet Indicators in Crisis Detection and Prevention

Roberto Perrelli,Christian B. Mulder,Manuel De la Rocha
The Role of Corporate Legal and Macroeconomic Balance Sheet Indicators in Crisis Detection and Prevention Book PDF

Author : Roberto Perrelli,Christian B. Mulder,Manuel De la Rocha
Publisher : International Monetary Fund
Page : 32 pages
File Size : 43,9 Mb
Release : 2002-03
Category : Business & Economics
ISBN : UCSD:31822029661659

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The Role of Corporate, Legal and Macroeconomic Balance Sheet Indicators in Crisis Detection and Prevention by Roberto Perrelli,Christian B. Mulder,Manuel De la Rocha Pdf

This study tests the recent balance sheet explanations of external crises in emerging market countries and the role of standards in these crises. Using several unique data sets, it finds that corporate sector balance sheets have a very significant impact on both the likelihood and depth of external crises. The indicators supplement, rather than substitute for traditional macroeconomic variables with standards playing potentially an important role. The results have implications for strategies to limit external vulnerability: they suggest that policymakers need to promote sound private sector financial structures, support sound shareholder rights, in addition to employing prudent macroeconomic policies to reduce exposure to crises. In sample predictions point to potentially large improvements in the predictive power of models that include these indicators.

Global Financial Stability Report, October 2020

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report October 2020 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : INTERNATIONAL MONETARY FUND
Page : 118 pages
File Size : 52,7 Mb
Release : 2020-10-23
Category : Business & Economics
ISBN : 1513554220

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Global Financial Stability Report, October 2020 by International Monetary Fund. Monetary and Capital Markets Department Pdf

Near-term global financial stability risks have been contained as an unprecedented policy response to the coronavirus (COVID-19) pandemic has helped avert a financial meltdown and maintain the flow of credit to the economy. For the first time, many emerging market central banks have launched asset purchase programs to support the smooth functioning of financial markets and the overall economy. But the outlook remains highly uncertain, and vulnerabilities are rising, representing potential headwinds to recovery. The report presents an assessment of the real-financial disconnect, as well as forward-looking analysis of nonfinancial firms, banks, and emerging market capital flows. After the outbreak, firms’ cash flows were adversely affected as economic activity declined sharply. More vulnerable firms—those with weaker solvency and liquidity positions and smaller size—experienced greater financial stress than their peers in the early stages of the crisis. As the crisis unfolds, corporate liquidity pressures may morph into insolvencies, especially if the recovery is delayed. Small and medium-sized enterprises (SMEs) are more vulnerable than large firms with access to capital markets. Although the global banking system is well capitalized, some banking systems may experience capital shortfalls in an adverse scenario, even with the currently deployed policy measures. The report also assesses the pandemic’s impact on firms’ environmental performance to gauge the extent to which the crisis may result in a reversal of the gains posted in recent years.