Stress-testing the banking system: methodologies and applications
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2010
|
| Ausgabe: | Reprinted |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXII, 329 S. graph. Darst. |
| ISBN: | 9780521767309 |
Internformat
MARC
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| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2010 | |
| 300 | |a XXII, 329 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804143221898477568 |
|---|---|
| adam_text | Contents
List of figures page
χ
List of tables
xii
List of boxes
xiv
List of contributors
xv
Foreword
Giovanni
Carasio
(Bank of Italy, Deputy Director General)
xxi
Acknowledgements
xxiii
Introduction
Mario Quagliariello (Bank of Italy) l
Part I Fundamentals
A framework for assessing financial stability
Maurizio Trapanese
(Bank of Italy)
7
1.1
Introduction
7
1.2
Building the framework
9
1.3
The use of macroprudential analysis for assessing financial stability
11
1.4
Looking for instability
12
1.5
Conclusions
16
References
17
Macroeconomic stress-testing: definitions and main components
Mario Quagliariello (Bank of Italy) 1
8
2.1
Introduction
18
2.2
Objectives of stress-testing: the micro and macro perspectives
19
2.3
Stress tests: definitions
22
2.4
The ingredients for macroeconomic stress-testing
25
References
35
Contents
Macroeconomic
stress-testing banks: a survey of methodologies
Mathias Drehmann (Bank
for International Settlements)
37
3.1
Introduction
37
3.2
Exposures to risk
38
3.3
The risk measure
48
3.4
The model of the data generating process
50
3.5
Methodological challenges
55
3.6
The new frontier: an integrated approach to macroeconomic
stress-testing
60
References
62
Scenario design and calibration
Takashi Isogai (Bank of Japan)
68
4.1
Introduction
68
4.2
Objectivity and plausibility of stress tests
69
4.3
Technical discussion on the plausibility of stress scenarios
74
4.4
Conclusions
77
References
78
Risk aggregation and economic capital
Vincenzo
Tola (Bank of Italy)
80
5.1
Introduction
80
5.2
Some basic definitions
81
5.3
Related literature
83
5.4
Copulas
84
5.5
Copulas in an economic capital model
87
5.6
Conclusions
96
References
97
Data needs for stress-testing
Francesco
Cannata
(Bank of Italy) and
Ulrich Krüger
(Deutsche Bundesbank)
99
6.1
Introduction
99
6.2
Overview of the information needed for stress-testing
100
6.3
Data needs by risk type
103
6.4
A focus on credit risk
106
6.5
A possible tool for organising data
110
References
115
Contents
Use of macro stress tests in policy-making
Patrizia Baudino
(Financial Stability Board)
117
7.1
Introduction
117
7.2
Use of macro stress tests for policy-making: limitations
and benefits
120
7.3
How macro stress tests have been used for policy-making
124
References
128
Part II Applications
ізі
8
Stress-testing credit risk: the Italian experience
Sebastiano
Laviola,
Juri
Marcucci and Mario Quagliariello (Bank of Italy)
133
8.1
Introduction
133
8.2
The Italian banking system: some stylised facts
134
8.3
An analytical framework for stress-testing credit risk
135
8.4
Stress test results
143
8.5
Conclusions
147
References
148
9
Stress-testing US banks using economic-value-of-equity
(EVE) models
Mike Carhill (Office of the Comptroller of the Currency)
149
9.1
Introduction
149
9.2
The EVE concept
151
9.3 Futurebusiness 153
9.4
Model uncertainty
155
9.5
Credit risk
160
9.6
Conclusions
162
Appendix Variation of deposit sensitivity estimates across banks
162
References
163
10
A framework for integrating different risks: the interaction
between credit and interest rate risk
Steffen
Sorensen (Barrie and Hibbert) and Marco
Stringa
(Bank of England)
165
10.1
Introduction
165
10.2
A framework for integrating interest rate and credit risk
168
Contents
10.3 Building
blocks of the stress test
172
10.4
Illustrative simulations
175
10.5
Future challenges to capture integration in macro stress tests
181
10.6
Conclusions
182
References
182
11
Stress-testing linkages between banks in the Netherlands
Iman
van Lelyveld,
Franka
Liedorp and
Marc Pröpper (De Nederlandsche Bank) 184
11.1
Introduction
184
11.2
The Dutch financial landscape
185
11.3
Interbank loan market
187
11.4
Payment networks
193
11.5
Conclusions
199
References
201
12
An integrated approach to stress-testing: the Austrian Systemic
Risk Monitor (SRM)
Michael Boss, Gerald Krenn,
Claus Puhr
and Martin Summer
(Oesterreichische
Nationalbank)
202
12.1
Introduction
202
12.2
The Austrian banking system
204
12.3
Theoretical foundations of the SRM
206
12.4
Input data of the SRM
214
12.5
Application of the SRM
217
12.6
Output data of the SRM
221
12.7
Some examples of stress tests with the SRM
224
12.8
Conclusions
235
References
237
13
From macro to micro: the French experience on credit risk
stress-testing
Muriel Tiesset and Clement Martin
(Banque
de
France
-
French Banking
Commission)
238
13.1
Main features and objectives of the French stress-testing
framework
238
13.2
Stress-testing the French banking sector through
macroeconomic
scenarios
241
13.3
Stress-testing corporate credit portfolios through ad hoc
credit shocks: analysing banks concentration risk on
business sectors
251
Contente
13.4
Micro surveillance
of French banks
credit portfolio risk
profile and potential micro/macro
links
252
13.5
Conclusions
255
Appendix
1
The credit
risk migration
model
256
Appendix
2
The model
of bank profitability
259
References
260
14
Stress-testing in the
EU
new member states
Adam
Głogowski
(National Bank of Poland)
261
14.1
Introduction
261
14.2
Credit risk stress-testing
263
14.3
Market risk stress-testing
269
14.4
Liquidity risk stress-testing
271
14.5
Interbank contagion in stress tests
273
14.6
Challenges for the future
274
References
276
15
Cross-border macro stress-testing: progress and future
challenges for the
EU
Olli
Castren,
John Fell and
Nico Valckx
(European Central Bank)
278
15.1
Introduction
278
15.2
Accounting for the cross-border dimension in credit risk
stress-testing
279
15.3
European challenges to cross-border stress-testing
287
15.4
Conclusions
294
References
295
16
Stress-testing at the IMF
Marina
Moretti,
Stéphanie
Stolz
and Mark Swinburne (International Monetary Fund)
297
16.1
Introduction
297
16.2
Background: overview of the FSAP
299
16.3
Stress-testing in FSAPs
300
16.4
FSAP stress-testing going forward
307
Annex Stress-testing in European FSAPs
310
References
316
Conclusions
Mario Quagliariello (Bank of Italy)
3
1
8
Index
322
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| spelling | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello Reprinted Cambridge [u.a.] Cambridge Univ. Press 2010 XXII, 329 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Test (DE-588)4059549-3 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf Stress (DE-588)4058047-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Bank (DE-588)4004436-1 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Stress (DE-588)4058047-7 s Test (DE-588)4059549-3 s Simulation (DE-588)4055072-2 s DE-604 Quagliariello, Mario Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020534927&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stress-testing the banking system methodologies and applications Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Test (DE-588)4059549-3 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Simulation (DE-588)4055072-2 gnd Stress (DE-588)4058047-7 gnd |
| subject_GND | (DE-588)4059549-3 (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4004436-1 (DE-588)4055072-2 (DE-588)4058047-7 (DE-588)4143413-4 |
| title | Stress-testing the banking system methodologies and applications |
| title_auth | Stress-testing the banking system methodologies and applications |
| title_exact_search | Stress-testing the banking system methodologies and applications |
| title_full | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_fullStr | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_full_unstemmed | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_short | Stress-testing the banking system |
| title_sort | stress testing the banking system methodologies and applications |
| title_sub | methodologies and applications |
| topic | Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Test (DE-588)4059549-3 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Simulation (DE-588)4055072-2 gnd Stress (DE-588)4058047-7 gnd |
| topic_facet | Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Test Kreditrisiko Risikomanagement Simulation Stress Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020534927&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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