From stress to costress : stress testing interconnected banking systems /
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| Author / Creator: | Maino, Rodolfo, 1961- author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, 2012. |
| Description: | 1 online resource (34 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/12/53 IMF working paper ; WP/12/53. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12500056 |
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| 100 | 1 | |a Maino, Rodolfo, |d 1961- |e author. |0 http://id.loc.gov/authorities/names/no2006115782 | |
| 245 | 1 | 0 | |a From stress to costress : |b stress testing interconnected banking systems / |c prepared by Rodolfo Maino and Kalin Tintchev. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2012. | ||
| 300 | |a 1 online resource (34 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/12/53 | |
| 500 | |a At head of title: Monetary and Capital Markets Department. | ||
| 500 | |a "February 2012." | ||
| 520 | 3 | |a 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. | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Credit Risk Stress Testing; A. Related Literature; Figures; 1. Macro-Financial Stress Testing Framework; B. Theoretical Credit Risk Model; C. Empirical Credit Risk Model; D. Modeling Banks' Credit Portfolio Losses in CreditRisk+; Tables; 1. Macro Determinants of Credit Risk; E. Main Findings; Boxes; 1. CreditRisk+; 2. Summary Stress Test Results; 2. Slowdown Scenario: Average Portfolio Loss Distribution; III. Systemic Risk Stress Tests; A. Systemic Risk Drivers; B. Empirical Model; 3. Quantile Regression Lines; 2. Quantile Regression. | |
| 505 | 8 | |a C. Systemic Risk ScenariosD. Main Findings; 4. Systemic Risk Scenarios; 3. Systemic Risk Scenarios; 4. Conditional Value-at-Risk to Capital; 5. CoVaR Network Structure; IV. Sensitivity Analysis; A. Shocks; B. Methodology and Assumptions; C. Main Findings; 5. Distribution of Stress Test Results; V. Conclusion; 6. Liquidity and Z-Score Stress Test Results; Appendixes; I. Default Risk Modeling in CreditRisk+; II. Quantile Regression; References. | |
| 650 | 0 | |a Banks and banking |x Risk management |x Econometric models. | |
| 650 | 0 | |a Bank capital |x Econometric models. | |
| 650 | 0 | |a Credit |x Econometric models. | |
| 650 | 6 | |a Banques |x Capital |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Modèles économétriques. | |
| 650 | 7 | |a Bank capital |x Econometric models. |2 fast |0 (OCoLC)fst00826594 | |
| 650 | 7 | |a Credit |x Econometric models. |2 fast |0 (OCoLC)fst00882527 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Tintchev, Kalin, |e author. |0 http://id.loc.gov/authorities/names/no2012009113 | |
| 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 Maino, Rodolfo. |t From Stress to CoStress: Stress Testing Interconnected Banking Systems. |d Washington : International Monetary Fund, ©2012 |z 9781475502220 |
| 830 | 0 | |a IMF working paper ; |v WP/12/53. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2012/053/001.2012.issue-053-en.xml |y INTERNATIONAL MONETARY FUND |
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