Next generation balance sheet stress testing /
Saved in:
| Author / Creator: | Schmieder, Christian, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2011. |
| Description: | 1 online resource (43 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/11/83 IMF working paper ; WP/11/83. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12499323 |
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| 050 | 4 | |a HD61 |b .S36 2011eb | |
| 050 | 4 | |a HG3881.5.I58 |b W67 No. 11/83eb | |
| 100 | 1 | |a Schmieder, Christian, |e author. |0 http://id.loc.gov/authorities/names/n78014788 | |
| 245 | 1 | 0 | |a Next generation balance sheet stress testing / |c Christian Schmieder, Claus Puhr, and Maher Hasan. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2011. | ||
| 300 | |a 1 online resource (43 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/11/83 | |
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Related Literature; III. Methodology; 1. Financial Risk Drivers; A. Stress Test Metric: Capitalization Under Stress; 2. Income Under Stress; B. Income; C. Credit Losses; 1. Link Between LGD and PD, Illustrative Example for Hungary; D. Risk-Weighted Assets; 2. Incremental Impact of an Increase of PDs on RWAs; 3. Illustrative Example for the Scaling Factor (Advanced Economy); 3. Incremental Impact of an Increase of Asset Correlations on RWAs; E. Basel III; 5. Overview of the Basel III Phase-in Agreements. | |
| 505 | 8 | |a IV. Stress Testing FrameworkA. Overview; 6. The Modular Design of the Stress Testing Framework; B. How Does the Framework Actually Work?; 7. Stress Testing Framework-Conceptual overview; 1. How to do a Meaningful Stress Test as a non-IRB Bank?; 4. Assumptions for Risk Parameters; 5. Other Assumptions; 8. Screenshot of Bank Specific Results 32; V. Stylized Numerical Example; 6. Numerical example-Stress Test Assumptions; 7. Stylized Numerical example-Outcome; VI. Conclusion; 1.1 Adoption of Foundation and Advanced IRB; 1.2 Supervisory stage of Basel II implementation. | |
| 505 | 8 | |a II. Derivation of Macro ScenariosIII. Corporate Recovery vs. Default Rates; References; Footnotes. | |
| 546 | |a English. | ||
| 650 | 0 | |a Financial risk management. |0 http://id.loc.gov/authorities/subjects/sh2005007073 | |
| 650 | 0 | |a Banks and banking |x State supervision. |0 http://id.loc.gov/authorities/subjects/sh85011634 | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 6 | |a Banques |x Contrôle de l'État. | |
| 650 | 7 | |a Banks and banking |x State supervision. |2 fast |0 (OCoLC)fst00826996 | |
| 650 | 7 | |a Financial risk management. |2 fast |0 (OCoLC)fst01739657 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Puhr, Claus, |e author. |0 http://id.loc.gov/authorities/names/no2011106386 | |
| 700 | 1 | |a Hasan, Maher, |e author. |0 http://id.loc.gov/authorities/names/no2006093562 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department, |e issuing body. |0 http://id.loc.gov/authorities/names/no2006113696 | |
| 776 | 0 | 8 | |i Print version: |a Schmieder, Christian. |t Next Generation Balance Sheet Stress Testing. |d Washington : International Monetary Fund, ©2011 |z 9781455226054 |
| 830 | 0 | |a IMF working paper ; |v WP/11/83. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2011/083/001.2011.issue-083-en.xml |y INTERNATIONAL MONETARY FUND |
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