Share

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

2020-07-03 Business & Economics
Download Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective PDF Online Free

Author :
Release : 2020-07-03
Genre : Business & Economics
Kind : eBook
Book Rating : 081/5 ( reviews)

GET EBOOK


Book Synopsis Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective by : Mr.Marco Gross

Download or read book Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective written by Mr.Marco Gross. This book was released on 2020-07-03. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.

Designing Effective Macroprudential Stress Tests

2015-06-30 Business & Economics
Download Designing Effective Macroprudential Stress Tests PDF Online Free

Author :
Release : 2015-06-30
Genre : Business & Economics
Kind : eBook
Book Rating : 534/5 ( reviews)

GET EBOOK


Book Synopsis Designing Effective Macroprudential Stress Tests by : Mr.Dimitri G. Demekas

Download or read book Designing Effective Macroprudential Stress Tests written by Mr.Dimitri G. Demekas. This book was released on 2015-06-30. Available in PDF, EPUB and Kindle. Book excerpt: Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and—crucially—be combined with microprudential perspectives.

Stress Testing at the IMF

2020-02-05 Business & Economics
Download Stress Testing at the IMF PDF Online Free

Author :
Release : 2020-02-05
Genre : Business & Economics
Kind : eBook
Book Rating : 741/5 ( reviews)

GET EBOOK


Book Synopsis Stress Testing at the IMF by : Mr.Tobias Adrian

Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian. This book was released on 2020-02-05. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Next Generation Balance Sheet Stress Testing

2011-04-01 Business & Economics
Download Next Generation Balance Sheet Stress Testing PDF Online Free

Author :
Release : 2011-04-01
Genre : Business & Economics
Kind : eBook
Book Rating : 006/5 ( reviews)

GET EBOOK


Book Synopsis Next Generation Balance Sheet Stress Testing by : Mr. Christian Schmieder

Download or read book Next Generation Balance Sheet Stress Testing written by Mr. Christian Schmieder. This book was released on 2011-04-01. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.

Stress Testing Financial Systems

2004-09-27 Business & Economics
Download Stress Testing Financial Systems PDF Online Free

Author :
Release : 2004-09-27
Genre : Business & Economics
Kind : eBook
Book Rating : 027/5 ( reviews)

GET EBOOK


Book Synopsis Stress Testing Financial Systems by : Mr.Matthew T Jones

Download or read book Stress Testing Financial Systems written by Mr.Matthew T Jones. This book was released on 2004-09-27. Available in PDF, EPUB and Kindle. Book excerpt: Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The booklet provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

You may also like...