Market-based structural top-down stress tests of the banking system /

Market-based structural top-down stress tests of the banking system /

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Bibliographic Details
Author / Creator:	Chan-Lau, Jorge A., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2013.
Description:	1 online resource (18 pages) : color illustrations
Language:	English
Series:	IMF working paper ; WP/13/88 IMF working paper ; WP/13/88.
Subject:	Banks and banking -- Econometric models. Banks and banking -- Risk management -- Econometric models. Financial risk management -- Econometric models. Liquidity (Economics) -- Econometric models. Banks and banking -- Econometric models. Liquidity (Economics) -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12501810

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Monetary and Capital Markets Department.
ISBN:	9781484384923 148438492X 9781484306314 1484306317 9781484322338 1484322339
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).
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.

Description
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.
Item Description:	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.
Physical Description:	1 online resource (18 pages) : color illustrations
Bibliography:	Includes bibliographical references (pages 15-17).
ISBN:	9781484384923 148438492X 9781484306314 1484306317 9781484322338 1484322339