From stress to costress : stress testing interconnected banking systems /

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Bibliographic Details
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:	Banks and banking -- Risk management -- Econometric models. Bank capital -- Econometric models. Credit -- Econometric models. Bank capital -- Econometric models. Credit -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12500056

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

Table of Contents:

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.
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.

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