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Next Generation Balance Sheet Stress Testing [electronic resource] Schmieder, Christian.

Author/Creator:
Schmieder, Christian.
Publication:
Washington, D.C. : International Monetary Fund, 2011.
Format/Description:
Government document
Book
1 online resource (42 p.)
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 11/83.
IMF Working Papers; Working Paper No. 11/83
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Local subjects:
Bank balance sheet. (search)
Bank balance sheets. (search)
Bank behavior. (search)
Bank data. (search)
Bank holding. (search)
Bank holding companies. (search)
Bank managers. (search)
Bank of england. (search)
Bank reports. (search)
Bank solvency. (search)
Bank supervision. (search)
Banking. (search)
Banking authority. (search)
Banking supervision. (search)
Banking supervisors. (search)
Banking system. (search)
Banking systems. (search)
Banks. (search)
Banks asset. (search)
Banks balance sheets. (search)
Banks solvency. (search)
Basel Core Principles. (search)
Capital adequacy. (search)
Capital adequacy ratio. (search)
Capital requirement. (search)
Capital requirements. (search)
Central banking. (search)
Credit risk. (search)
Economic risk. (search)
Economic risks. (search)
Emerging markets. (search)
Financial risk. (search)
Financial systems. (search)
Foreign exchange. (search)
General. (search)
Market risk. (search)
Mortgages. (search)
National bank. (search)
Other Depository Institutions. (search)
Recapitalization. (search)
Risk analysis. (search)
Risk assessment. (search)
Risk management. (search)
Risk model. (search)
Risk-weighted assets. (search)
Small bank. (search)
Stress testing. (search)
Supervisory agencies. (search)
Supervisory authorities. (search)
Tier 1 capital. (search)
Chile. (search)
Germany. (search)
Grenada. (search)
Hungary. (search)
Italy. (search)
United Kingdom. (search)
United States. (search)
Summary:
This paper presents a ""second-generation"" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.
Notes:
Description based on print version record.
Contributor:
Hasan, Maher.
Puhr, Claus.
Schmieder, Christian.
Other format:
Print Version:
ISBN:
145522605X:
9781455226054
ISSN:
1018-5941
Publisher Number:
10.5089/9781455226054.001
Access Restriction:
Restricted for use by site license.