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A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs /
"The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress te...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2013.
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| Colección: | IMF working paper ;
WP/13/68. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control.
- C. Capital StandardsD. Method; 3. Basel III Transition Schedule; Macroeconomic and satellite modelling; 4. General Representation of Satellite Modeling in Bank Solvency Stress Testing; 5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update; 6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update; Stress test models; 4. Scorecard on Data and IMF Stress Test Models; 7. Stress Test Models Developed by IMF Staff.
- 8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based ApproachesE. Communication; Presentation of outputs; Publication; IV. Concluding Remarks; 9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update; 10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update; 11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update; 5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update.
- AppendicesI. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries; II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update; III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update; References.