Measuring Systemic Banking Resilience
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Measuring Systemic Banking Resilience
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Author : Erik Feyen
language : en
Publisher:
Release Date : 2021
Measuring Systemic Banking Resilience written by Erik Feyen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Reverse stress tests can be a useful tool to evaluate bank resilience to a credit shock, especially in environments where financial data are limited or opaque. This paper develops a simple and transparent country-level banking sector resilience indicator that focuses on tail risks, the Consolidated Distance to Breakpoint. Based on individual bank reverse stress test results, this novel metric quantifies the increase in nonperforming loans needed to deplete capital buffers for a subset of the most fragile banks that collectively represent at least 20 percent of total banking system assets, a level commonly associated with a systemic banking crisis. The paper calculates the Consolidated Distance to Breakpoint using public data for more than 1,500 banks in 59 emerging market and developing economies during the COVID-19 pandemic. The paper explores the value added of this metric in relation to widely used country-level macro-financial and soundness indicators. The results show that the association of the Consolidated Distance to Breakpoint with these macro-financial and financial soundness indicators is limited. This suggests that this new indicator encapsulates complementary information, possibly because aggregate measures may obscure challenges in individual banks. As such, the Consolidated Distance to Breakpoint metric could serve as a useful input to establish a basic understanding of a banking sector's resilience.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-05 with Business & Economics categories.
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.
Measuring Systemic Risk Adjusted Liquidity Srl
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Author : Andreas Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-01
Measuring Systemic Risk Adjusted Liquidity Srl written by Andreas Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Stress Testing Within The Banking Industry
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Author : Felix Lessambo
language : en
Publisher: Ethics International Press
Release Date : 2024-08-01
Stress Testing Within The Banking Industry written by Felix Lessambo and has been published by Ethics International Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-08-01 with Business & Economics categories.
Central banks have become part of our modern life. Understanding their operations and policies is important, even to a layperson. At the core of their mission is financial stability. The stress test is one of the tools that Central Banks (or monetary authorities) use to assess how sound commercial banks are within their jurisdictions at any point in time. Bank stress testing is designed to test the resilience of banks to severe but plausible shocks. These scenarios are conceived around a fall of asset prices, a shock to interest rates, a reassessment of risk premiums or a large depreciation to correct an external imbalance. Nonetheless, passing a stress test does not provide a blind assurance that a financial institution is safe and outside the reach of collapse. This book aims to educate on the risks tested and the methods often used in stress testing. It is the first book in its field to make a comprehensive and up-to-date analysis of stress testing, including climate risk.
Resilience Dynamism Trust 50 Landmark Statements By Mas Leaders
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Author : Monetary Authority Of Singapore
language : en
Publisher: World Scientific
Release Date : 2021-10-04
Resilience Dynamism Trust 50 Landmark Statements By Mas Leaders written by Monetary Authority Of Singapore and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-04 with Business & Economics categories.
The Monetary Authority of Singapore (MAS) is Singapore's central bank and integrated financial regulator. As a central bank, MAS promotes sustained, non-inflationary economic growth through the conduct of monetary policy and close macroeconomic surveillance and analysis. It manages Singapore's exchange rate, official foreign reserves, and liquidity in the banking sector. As an integrated financial supervisor, MAS fosters a sound financial services sector through its prudential oversight of all financial institutions in Singapore — banks, insurers, capital market intermediaries, financial advisors and financial market infrastructures. It is also responsible for well-functioning financial markets, sound conduct, and investor education. MAS also works with the financial industry to promote Singapore as a dynamic international financial centre. It facilitates the development of infrastructures, adoption of technology, and upgrading of skills in the financial industry.This 50th anniversary compilation provides convenient access to the thinking behind MAS' policies and strategies as they have evolved, through 50 landmark statements by its leaders.
Introduction To Applied Stress Testing
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Author : Martin Cihák
language : en
Publisher: International Monetary Fund
Release Date : 2007-03
Introduction To Applied Stress Testing written by Martin Cihák and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03 with Business & Economics categories.
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.
World Development Report 2022
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Author : World Bank
language : en
Publisher: World Bank Publications
Release Date : 2022-06-13
World Development Report 2022 written by World Bank and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-13 with Business & Economics categories.
The COVID-19 pandemic triggered the largest global economic crisis in more than a century. In 2020, economic activity contracted in 90 percent of countries, the world economy shrank by about 3 percent, and global poverty increased for the first time in a generation. Governments responded rapidly with fiscal, monetary, and financial policies that alleviated the worst immediate economic impacts of the crisis. Yet the world must still contend with the significant longer-term financial and economic risks caused by, or exacerbated by, the pandemic and the government responses needed to mitigate its effects.World Development Report 2022: Finance for an Equitable Recovery examines the central role of finance in the economic recovery from COVID-19. Based on an in-depth look at the consequences of the crisis most likely to affect low- and middle-income economies, it advocates a set of policies and measures to mitigate the interconnected economic risks stemming from the pandemic—risks that may become more acute as stimulus measures are withdrawn at both the domestic and global levels. Those policies include the efficient and transparent management of nonperforming loans to mitigate threats to financial stability, insolvency reforms to allow for the orderly reduction of unsustainable debts, innovations in risk management and lending models to ensure continued access to credit for households and businesses, and improvements in sovereign debt management to preserve the ability of governments to support an equitable recovery.
Macroprudential Policy And Practice
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Author : Paul Mizen
language : en
Publisher: Cambridge University Press
Release Date : 2018-08-23
Macroprudential Policy And Practice written by Paul Mizen and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-23 with Business & Economics categories.
A guide to the latest theoretical developments in macroprudential policy, the newest tool in central banking policymaking circles.
Systemic Risk History Measurement And Regulation
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Author : Yvonne Kreis
language : en
Publisher: World Scientific
Release Date : 2019-06-04
Systemic Risk History Measurement And Regulation written by Yvonne Kreis and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-04 with Business & Economics categories.
Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.