Hidden Bibliographic Details
| Other authors / contributors: | Puhr, Claus, author.
Hasan, Maher, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN: | 1283564386
9781283564380
9781462307173
1462307175
146233542X
9781462335428
9786613876836
6613876836
1455224006
9781455224005
9781455226054
145522605X
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| Notes: | Includes bibliographical references.
English.
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| Summary: | This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihak (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.
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| Other form: | Print version: Schmieder, Christian. Next Generation Balance Sheet Stress Testing. Washington : International Monetary Fund, ©2011 9781455226054
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