Czech Republic : technical note on the stress testing the banking sector.
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| Author / Creator: | Fund, International Monetary. |
|---|---|
| Corporate author / creator: | International Monetary Fund, Corporate Author. |
| Imprint: | Washington, D.C. : International Monetary Fund, ©2012. |
| Description: | 1 online resource (45 pages). |
| Language: | English |
| Series: | IMF country report ; no. 12/74 IMF Staff Country Reports. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12508712 |
Table of Contents:
- Cover; Contents; Glossary; Executive Summary; I. Introduction; Figures; 1. Financial Soundness Indicators for the Czech Banking System; 2. Overview of the FSAP Bank Stress Testing Framework; II. Bank Solvency Stress Tests; A. Approaches and Coverage; B. Scenarios and Shocks; Tables; 1. Comparison of Different Solvency Stress Test Methods; C. Concept and Assumptions; 3. GDP Trajectories Under Different Scenarios; 2. Overview of the Modeling of Key Solvency Parameters; 4. Potential Impact of Pillar 2 Capital Charges for Name Concentration; D. Outcome of the Solvency Tests.
- 3. Overview of the Basel III Minimum Capital Requirements5. Outcome of Solvency Stress Tests for the Czech Banking System; 6. Distribution of the Outcome of Solvency Stress Tests; III. Liquidity Stress Tests; A. Method and Scenarios; 4. Scenarios used for Liquidity Tests; 7. Outcome of Liquidity Stress Tests for the Czech Banking System; IV. Stress Tests for Nonbanks; A. Insurance and Pension Sector; B. Credit Unions; V. Conclusion and Recommendations; 8. Simplified Stress Test for an Average Credit Union; VI. References; Appendixes; I. Stress Test Matrix: Solvency Risk and Scenarios.
- Appendix TablesI. Evolution of Macroeconomic Variables Under Different Scenarios; II. Projections of the Key Stress Test Drivers; 9. Decomposition of Czech Banks' Operating Income; II. Comparison of the Trajectories of Key Risk Drivers by Method; III. Stress Test Matrix for Solvency; 10. Schematic Overview for the Calibration of Funding Costs; III. Calibration of Funding Costs used for the FSAP; IV. Stress Test Matrix for Liquidity Risk.