From Stress to Costress [electronic resource] : Stress Testing Interconnected Banking Systems, Maino, Rodolfo.
- Washington, D.C. : International Monetary Fund, 2012.
- IMF eLibrary
IMF Working Papers; Working Paper No. 12/53.
IMF Working Papers; Working Paper No. 12/53
- Government document
1 online resource (34 p.)
- Local subjects:
- Bank credit.
Bank of england.
Capital adequacy ratio.
Credit risk management.
Least squares regression.
Other Depository Institutions.
Probability of default.
Tier 1 capital.
- 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.
- Description based on print version record.
- Maino, Rodolfo.
- Other format:
- Print Version:
- Publisher Number:
- Access Restriction:
- Restricted for use by site license.
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