Stress Testing The Banking System

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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 : 51,7 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.

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 : 47,5 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.

Reverse Stress Testing in Banking

Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
Reverse Stress Testing in Banking Book PDF

Author : Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
Publisher : Walter de Gruyter GmbH & Co KG
Page : 483 pages
File Size : 43,7 Mb
Release : 2021-05-10
Category : Business & Economics
ISBN : 9783110644951

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Reverse Stress Testing in Banking by Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger Pdf

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

Stress Testing the Banking System

Mario Quagliariello
Stress Testing the Banking System Book PDF

Author : Mario Quagliariello
Publisher : Unknown
Page : 67 pages
File Size : 43,7 Mb
Release : 2009
Category : Electronic
ISBN : OCLC:1290843669

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Stress Testing the Banking System by Mario Quagliariello Pdf

Stress tests are quantita ...

Banking's Final Exam

Morris Goldstein
Banking s Final Exam Book PDF

Author : Morris Goldstein
Publisher : Columbia University Press
Page : 379 pages
File Size : 55,7 Mb
Release : 2017-05-30
Category : Business & Economics
ISBN : 9780881327069

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Banking's Final Exam by Morris Goldstein Pdf

Spurred by the success of the first stress test of US banks toward the end of the global economic crisis in 2009, stress testing of large financial institutions has become the cornerstone of banking supervision worldwide. The aim of the tests is to determine which banks are adequately capitalized under severe economic shocks and to order corrective measures for those that are vulnerable. In Banking’s Final Exam, one of the world’s leading experts on banking regulation concludes that the tests administered on both sides of the Atlantic suffer from fundamental weaknesses, leading to a false sense of reassurance about the safety and soundness of the banking system. Some weaknesses can be corrected within the existing bank-capital regime, but others will require bold reforms—including higher minimum capital requirements for the largest and most systemically-important banks. The banking industry is likely to resist these reforms, but this book explains why their objections do not hold water.

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 : 49,6 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.

From Stress to Costress

Mr.Rodolfo Maino,Mr.Kalin Tintchev
From Stress to Costress Book PDF

Author : Mr.Rodolfo Maino,Mr.Kalin Tintchev
Publisher : International Monetary Fund
Page : 61 pages
File Size : 40,6 Mb
Release : 2012-02-01
Category : Business & Economics
ISBN : 9781475576566

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From Stress to Costress by Mr.Rodolfo Maino,Mr.Kalin Tintchev Pdf

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default.

Credibility and Crisis Stress Testing

Ms.Li L. Ong,Ceyla Pazarbasioglu
Credibility and Crisis Stress Testing Book PDF

Author : Ms.Li L. Ong,Ceyla Pazarbasioglu
Publisher : International Monetary Fund
Page : 64 pages
File Size : 46,8 Mb
Release : 2013-08-09
Category : Business & Economics
ISBN : 9781475527063

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Credibility and Crisis Stress Testing by Ms.Li L. Ong,Ceyla Pazarbasioglu Pdf

Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.

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 : 53,8 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.

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 : 52,6 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 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 : 46,6 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.

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 : 55,7 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.

New Zealand: Financial Sector Assessment Program

International Monetary Fund. Monetary and Capital Markets Department
New Zealand Financial Sector Assessment Program Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 79 pages
File Size : 48,6 Mb
Release : 2017-05-10
Category : Business & Economics
ISBN : 9781484300053

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New Zealand: Financial Sector Assessment Program by International Monetary Fund. Monetary and Capital Markets Department Pdf

Imbalances in the housing market, concentrated exposures to the dairy sector, and reliance on wholesale funding are the key macrofinancial risks in New Zealand. The banking sector, which dominates the financial system, has significant exposures to real estate and agriculture, is relatively dependent on foreign funding and is dominated by four Australian subsidiaries. A sharp decline in the real estate market, a prolonged period of low dairy prices, a deterioration in global economic conditions, and a tightening in financial markets would adversely impact the system.

Preparing for the Next Financial Crisis

Esa Jokivuolle,Radu Tunaru
Preparing for the Next Financial Crisis Book PDF

Author : Esa Jokivuolle,Radu Tunaru
Publisher : Cambridge University Press
Page : 205 pages
File Size : 43,5 Mb
Release : 2017-11-16
Category : Business & Economics
ISBN : 9781107185593

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Preparing for the Next Financial Crisis by Esa Jokivuolle,Radu Tunaru Pdf

This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.

Switzerland

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

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 32 pages
File Size : 51,5 Mb
Release : 2014-09-03
Category : Business & Economics
ISBN : 9781484356371

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

This Technical Note on Stress Testing the Banking System on Switzerland summarizes the stress tests undertaken for the Swiss banking system as part of the 2013 Financial Sector Assessment Program (FSAP) Update. The objective of this exercise has been to assess the resilience of the banking system to major macroeconomic shocks and sources of risk. The stress tests focused on the banking system and covered almost the entire banking system. Systemic banks should continue the front-loaded build-up in capital buffers, which has contributed to their resilience to shocks. The results suggest that the two large banks should continue the front-loaded build-up in capital buffers, which has contributed to their resilience to shocks. Stress tests results for the two large systemic banks are sensitive to the definition of capital. Stress tests results suggest that banks in other banking categories are well capitalized. Notwithstanding important data limitations and relying on broad assumptions based on aggregate and partial information, stress tests show that capital ratios remain broadly adequate for most banks under all scenarios.