Hidden Bibliographic Details
| Other authors / contributors: | Tintchev, Kalin, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN: | 9781475576566
1475576560
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| Notes: | At head of title: Monetary and Capital Markets Department.
"February 2012."
Includes bibliographical references.
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| 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.
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| Other form: | Print version: Maino, Rodolfo. From Stress to CoStress: Stress Testing Interconnected Banking Systems. Washington : International Monetary Fund, ©2012 9781475502220
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