Stress Testing The Banking System
DOWNLOAD
READ ONLINE
Download Stress Testing The Banking System PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stress Testing The Banking System book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Stress Testing The Banking System
DOWNLOAD
READ ONLINE
Author : Mario Quagliariello
language : en
Publisher: Cambridge University Press
Release Date : 2009-10-15
Stress Testing The Banking System written by Mario Quagliariello 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 2009-10-15 with Business & Economics categories.
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.
Handbook Of Financial Stress Testing
DOWNLOAD
READ ONLINE
Author : J. Doyne Farmer
language : en
Publisher:
Release Date : 2022-04-14
Handbook Of Financial Stress Testing written by J. Doyne Farmer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-14 with Mathematics categories.
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
DOWNLOAD
READ ONLINE
Author : Mario Quagliariello
language : en
Publisher:
Release Date : 2009
Stress Testing The Banking System written by Mario Quagliariello and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Stress tests are quantita ...
Market Based Structural Top Down Stress Tests Of The Banking System
DOWNLOAD
READ ONLINE
Author : Mr.Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2013-04-10
Market Based Structural Top Down Stress Tests Of The Banking System written by Mr.Jorge A. Chan-Lau 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 2013-04-10 with Business & Economics categories.
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.
Reverse Stress Testing In Banking
DOWNLOAD
READ ONLINE
Author : Michael Eichhorn
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2021-05-10
Reverse Stress Testing In Banking written by Michael Eichhorn and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-10 with Business & Economics categories.
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.
From Stress To Costress
DOWNLOAD
READ ONLINE
Author : Mr.Rodolfo Maino
language : en
Publisher: International Monetary Fund
Release Date : 2012-02-01
From Stress To Costress written by Mr.Rodolfo Maino 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 2012-02-01 with Business & Economics categories.
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.
United Kingdom
DOWNLOAD
READ ONLINE
Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2016-06-17
United Kingdom written by International Monetary Fund. Monetary and Capital Markets Department 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 2016-06-17 with Business & Economics categories.
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
DOWNLOAD
READ ONLINE
Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-10
New Zealand Financial Sector Assessment Program written by International Monetary Fund. Monetary and Capital Markets Department 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 2017-05-10 with Business & Economics categories.
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.
Switzerland Technical Note Stress Testing The Banking System
DOWNLOAD
READ ONLINE
Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2014-09-03
Switzerland Technical Note Stress Testing The Banking System written by International Monetary Fund. Monetary and Capital Markets Department 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 2014-09-03 with Business & Economics categories.
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Stress Testing Financial Systems
DOWNLOAD
READ ONLINE
Author : Mr.Paul Louis Ceriel Hilbers
language : en
Publisher: International Monetary Fund
Release Date : 2004-07-01
Stress Testing Financial Systems written by Mr.Paul Louis Ceriel Hilbers 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 2004-07-01 with Business & Economics categories.
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.