Market-based structural top-down stress tests of the banking system /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12501810 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 13/88eb | |
| 100 | 1 | |a Chan-Lau, Jorge A., |e author. |0 http://id.loc.gov/authorities/names/no98112304 | |
| 245 | 1 | 0 | |a Market-based structural top-down stress tests of the banking system / |c Jorge A. Chan-Lau. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2013. | ||
| 300 | |a 1 online resource (18 pages) : |b color 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/13/88 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Apr. 10, 2013). | ||
| 500 | |a "Monetary and Capital Markets Department"--Page 2 of pdf. | ||
| 500 | |a "April 2013"--Page 2 of pdf. | ||
| 520 | |a "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. | ||
| 504 | |a Includes bibliographical references (pages 15-17). | ||
| 505 | 0 | |a Cover; Abstract; Contents; I. The Need for Market-Based Top-Down Stress Tests; A. Standard Top-Down Stress Tests; B. Market-based Top-Down Stress Tests; Tables; Table 1. 2009 SCAP: selected macroeconomic variables; Figures; Figure 1. US Banks, 5-year CDS Index; Figure 2. A taxonomy of top-down stress tests; II. Data challenges for conducting traditional top-down stress tests; Figure 3. From publicly available data to probabilities of default; III. Methodology; IV. A Numerical Illustration; Table 2. EDF descriptive statistics, sample period 2006Q3 -- 2012 Q3, in percent. | |
| 505 | 8 | |a Figure 4. Banks: One-year Expected Default Frequencies (in percent)Table 3. Non-linear models for banks' EDFs as a function of yoy real GDP changes; Figure 5. Fitted non-linear models for banks' EDFs; Table 4. Macro scenarios, GDP growth year-on-year; Figure 6. Changes in banks' capital-to-asset ratio under different macro scenarios relative to 2012 Q3 levels; V. Conclusions; References. | |
| 650 | 0 | |a Banks and banking |x Econometric models. | |
| 650 | 0 | |a Banks and banking |x Risk management |x Econometric models. | |
| 650 | 0 | |a Financial risk management |x Econometric models. | |
| 650 | 0 | |a Liquidity (Economics) |x Econometric models. | |
| 650 | 6 | |a Finances |x Gestion du risque |x Modèles économétriques. | |
| 650 | 6 | |a Liquidité (Économie politique) |x Modèles économétriques. | |
| 650 | 7 | |a Banks and banking |x Econometric models. |2 fast |0 (OCoLC)fst00826918 | |
| 650 | 7 | |a Liquidity (Economics) |x Econometric models. |2 fast |0 (OCoLC)fst00999685 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. |0 http://id.loc.gov/authorities/names/no2006113696 | |
| 830 | 0 | |a IMF working paper ; |v WP/13/88. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2013/088/001.2013.issue-088-en.xml |y INTERNATIONAL MONETARY FUND |
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