New Zealand Banks’ Vulnerabilities and Capital Adequacy [electronic resource] Jang, B..

Jang, B.
Washington, D.C. : International Monetary Fund, 2013.
IMF eLibrary
IMF Working Papers; Working Paper No. 13/7.
IMF Working Papers; Working Paper No. 13/7
Government document
1 online resource (23 p.)
Local subjects:
Bank asset. (search)
Bank asset quality. (search)
Bank assets. (search)
Bank balance sheet. (search)
Bank capital. (search)
Bank failure. (search)
Bank market. (search)
Bank profits. (search)
Bank supervision. (search)
Bank vulnerabilities. (search)
Bankers association. (search)
Banking. (search)
Banking authority. (search)
Banking sector. (search)
Banking sector assets. (search)
Banking supervision. (search)
Banking system. (search)
Banks. (search)
Banks balance sheets. (search)
Basel II. (search)
Capital. (search)
Capital adequacy. (search)
Capital adequacy ratio. (search)
Capital requirement. (search)
Commercial property. (search)
Fixed rate mortgage. (search)
General. (search)
Government Policy and Regulation. (search)
Housing finance system. (search)
Housing loans. (search)
Income statement. (search)
Loss given default. (search)
Mortgage insurance. (search)
Mortgage lending. (search)
Mortgage market. (search)
Mortgage rates. (search)
Mortgages. (search)
Net interest margin. (search)
Other Depository Institutions. (search)
Probability of default. (search)
Prudential regulation. (search)
Residential mortgages. (search)
Retail mortgages. (search)
Return on assets. (search)
Return on equity. (search)
Risk mortgages. (search)
Stress testing. (search)
Stress tests. (search)
Tier 1 capital. (search)
New Zealand. (search)
The paper finds that, given New Zealand’s conservative approach in implementing the Basel II framework, New Zealand banks’ headline capital ratios underestimate their capital strength. A comparison with Canadian, UK and Australian banks highlights the impact of New Zealand’s more conservative approach. Stress tests in the paper show that four large New Zealand banks could withstand sizable stand-alone shocks to their exposure to either residential mortgages (calibrated on the Irish crisis experience) or corporate lending. However, combined shocks to both residential mortgages and corporate lending would put more pressure on the banks’ capital. Given high bank concentration and large offshore wholesale funding needs, the merits of higher minimum capital requirements for systemically important domestic banks could be considered, together with other measures to be implemented.
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Jang, B.
Kataoka, Masahiko.
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