Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Monetary and Capital Markets Department.
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| ISBN: | 9781484384923
148438492X
9781484306314
1484306317
9781484322338
1484322339
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| Notes: | Title from PDF title page (IMF Web site, viewed Apr. 10, 2013).
"Monetary and Capital Markets Department"--Page 2 of pdf.
"April 2013"--Page 2 of pdf.
Includes bibliographical references (pages 15-17).
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| Summary: | "Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks' trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy"--Abstract.
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