Franklin

From Stress to Costress [electronic resource] : Stress Testing Interconnected Banking Systems, Maino, Rodolfo.

Author/Creator:
Maino, Rodolfo.
Publication:
Washington, D.C. : International Monetary Fund, 2012.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 12/53.
IMF Working Papers; Working Paper No. 12/53
Format/Description:
Government document
Book
1 online resource (34 p.)
Local subjects:
Bank credit.
Bank distress.
Bank liquidity.
Bank managers.
Bank of england.
Bank research.
Banking.
Banking sector.
Banking stability.
Banking system.
Banking systems.
Banks.
Banks assets.
Banks solvency.
Bootstrap.
Capital adequacy.
Capital adequacy ratio.
Central banking.
Correlation.
Correlations.
Covariance.
Credit expansion.
Credit risk.
Credit risk management.
Econometrics.
Economic models.
Empirical model.
Equation.
Equations.
Estimation period.
Estimation procedure.
External shocks.
Finite sample.
Foreign exchange.
Functional form.
General.
Generating function.
Generating functions.
Independent variables.
Instrumental variables.
Interbank market.
Least squares regression.
Logarithms.
Minimization.
Mortgages.
Nonlinear relationship.
Normal distribution.
Optimization.
Orthogonality.
Other Depository Institutions.
Outliers.
Poisson distribution.
Poisson process.
Prediction.
Probabilities.
Probability.
Probability distribution.
Probability of default.
Random variable.
Recapitalization.
Regression analysis.
Risk management.
Sample size.
Samples.
Scatter plot.
Sensitivity analysis.
Sovereign risk.
Standard deviation.
Standard deviations.
Stata.
Statistical methods.
Statistical theory.
Stress testing.
Survey.
Tier 1 capital.
Vector autoregression.
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Maino, Rodolfo.
Tintchev, Kalin.
Other format:
Print Version:
ISBN:
1475502222:
9781475502220
ISSN:
1018-5941
Publisher Number:
10.5089/9781475502220.001
Access Restriction:
Restricted for use by site license.
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