Rules of thumb for bank solvency stress testing /

Rules of thumb for bank solvency stress testing /

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Bibliographic Details
Author / Creator:Hardy, Daniel C., author.
Imprint:Washington, D.C. : International Monetary Fund, 2013.
Description:1 online resource
Language:English
Series:IMF working paper ; WP/13/232
IMF working paper ; WP/13/232.
Subject:
Bank loans -- Management.
Banks and banking -- Econometric models.
Risk management -- Econometric models.
Bank loans -- Management.
Banks and banking -- Econometric models.
Risk management -- Econometric models.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12502216
Hidden Bibliographic Details
Other authors / contributors:Schmieder, Christian, 1976- author.
ISBN:1306193826
9781306193825
Notes:Print version record.
Summary:Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of thumb are proposed for the behavior of banks' capital ratios and key drivers thereof?primarily credit losses, income, credit growth, and risk weights?in advanced and emerging economies, under more or less severe stress conditions. The proposed rules imply disproportionate responses to large shocks, and can be used to quantify the cyclical behaviour of capital ratios under various regulatory approaches.
Other form:Print version: 9781306193825
Table of Contents:
  • Cover; Contents; I. Introduction; II. Methodology and Sources; III. Typical Banking Crises and Descriptive Rules of Thumb; A. Literature on Banking Crises; Tables; 1. Čihák and Schaeck Evidence on Typical Evolution of NPL Stock Ratios Around a Crisis; Figures; 1. Čihák and Schaeck Evidence on Typical Evolution of NPL Ratios Around a Crisis; B. Historical Evidence on Banking Crises; Boxes; 1. Proxies for Credit Loss Rates; 2. Historical Annual Default Rate for All Rating Grades; 3. Historical Corporate Bond Default Rates (1866-2008); C. Descriptive Rules of Thumb.
  • 2. Typical Credit Loss Levels under Different Levels of Shocks4. Median Loss Rates by Country (1996-2011); 5. Typical Evolution of Credit Loss Rates under Stress; 6. Evolution of LGDs through the cycle; 3. Stress Levels of Default Rates and LGDs for ACs; 7. Link Between LGDs and Default Rates; 8. Typical Evolution of Pre-impairment Income Under Stress; 9. Evolution of Pre-impairment Income for Worst Performing Banks under Stress; 10. Standard Deviation Across Crisis Periods of Median Income and Expense Components; 11. Trading Income under Stress, by Quantile.
  • 2. How Likely is it that Large Trading Losses Coincide with Large Credit Losses?IV. Rules of Thumb for Satellite Models; 12. Typical Evolution of Credit Growth for ACs and EMs under Stress; A. Explanatory Variables and Estimation Approach; B. Rules of Thumb for Satellite Models; 4. Rules of Thumb for the GDP Sensitivity of Key Bank Solvency Variables; 5. Historical Evidence on Typical Evolution of Default Dates Around a Crisis; 13. Historical Evidence on Typical Evolution of Default Rates Around a Crisis; 6. Rules of Thumb for the GDP Growth Sensitivity of Credit Risk Parameters.
  • 3. How do IRB Correlations Compare with Empirical Correlations?14a. Comparison Between IRB Asset Correlation and Empirical Asset Correlations for Corporate Debt; 14b. Resulting Risk Weights; V. Worked Examples; A. Bank Characteristics; 7. Features of Banks Used in the Worked Examples; 15. Evolution of Capital Ratios during Stress Periods; 8. Simulated Evolution of RWAs Relative to Total Assets During Stress Periods; 16. Evolution of Leverage Ratios during Stress Periods; 9. Simulated Evolution of Net Income during Stress Periods.
  • 17. Evolution of Capital Ratios: Actual vs. Predicted for an AC Bank4. Rules of Thumb Applied to Recent Stress Tests; 18. Capital Ratios with Point-In-Time vs. Through-The-Cycle RWAs; VI. Conclusion; 10. Overview of Main Rules of Thumb; Appendix 1. Data Summary; Appendixes; 1. Data Summary; Appendix Tables; 1 Overview of Bankscope Data; Appendix Figures; 1 Overview of Raw Bankscope Sample Size by Year; 2. Overview of Top 10 Countries by Category for Cleaned Bankscope Data; 3. Overview of Bankscope Data, by Stress Level; Appendix 2. Supplementary Evidence; 2. Supplementary Evidence.

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