A guide to IMF stress testing: methods and models
Gespeichert in:
| Körperschaft: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Washington, DC
International Monetary Fund, Publ. Service
2014
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xviii, 591 pages 29 cm + 1 CD-ROM (12 cm) |
| ISBN: | 9781484368589 |
Internformat
MARC
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| 245 | 1 | 0 | |a A guide to IMF stress testing |b methods and models |c International Monetary Fund. Editor, Li Lian Ong |
| 264 | 1 | |a Washington, DC |b International Monetary Fund, Publ. Service |c 2014 | |
| 300 | |a xviii, 591 pages |c 29 cm + |e 1 CD-ROM (12 cm) | ||
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| 650 | 4 | |a Financial risk management | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Foreword..................................................................................¡x
JoStVlNALS
Acknowledgments...........................................................................xj
Abbreviations...........................................................................xiii
Contributing Authors....................................................................xvii
1. Stress Testing at the International Monetary Fund: Methods and Models......1
Li Lian Ong · Martin CihAk
PART I THE ACCOUNTING-BASED APPROACH
A. THE BALANCE SHEET-BASED APPROACH
2. Introduction to the Balance Sheet-Based Approach to StressTesting..........13
Christian Schmieder · Uliana Schumacher
3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data....17
Martin CihAk
4. Into the Great Unknown: Stress Testing with Weak Data......................45
Li Lian Ong · Rodolfo Maino · Nombulelo Duma
5. Next-Generation Applied Solvency StressTesting.............................59
Christian Schmieder · Claus Puhr · Maher Hasan
6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing
Using an Iceland Example....................................................71
Li Lian Ong · Martin CihAk
7. Next-Generation Systemwide Liquidity StressTesting.........................91
Christian Schmieder · Heiko Hesse · Benjamin Neudorfer · Claus Puhr · Stefan W. Schmitz
8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of
Correlated Market, Credit, Sovereign, and Interbank Risks...................103
Theodore Barnhill Jr. · Marcos Souto
9. Modeling Correlated Systemic Bank Liquidity Risks..........................123
Theodore Barnhill Jr. · Liliana Schumacher
10. Review and Implementation of Credit Risk Models............................135
Renzo G. Avesani · Kexue Liu · Alin Mirestean · Jean Salvati
151
183
205
209
229
247
249
263
279
281
299
333
337
11. Bankers without Borders? Implications of Ring-Fencing for European
Cross-Border Banks............................................................
EugenioCerutti · Anna Ilyina · Yulia Makarova · Christian Schmieder
12. Conducting Stress Tests of Defined Benefit Pension Plans.....................
Gregorio Impavido
THE NETWORK ANALYSIS APPROACH
13. Introduction to the Network Analysis Approach to Stress Testing..............
Marco A. Espinosa-Vega · Juan Sole
14. Cross-Border Financial Surveillance: A Network Perspective...................
Marco A. Espinosa-Vega · Juan Sole
15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk
in Global and Domestic Banking Systems........................................
Jorge A. Chan-Lau
THE MARKET PRICE-BASED APPROACH
THE EQUITY INDICATORS-BASED APPROACH
16. Introduction to the Equity Indicators-Based Approach to Stress Testing.......
Jorge A. Chan-Lau
17. The Global Financial Crisis and Its Impact on the Chilean Banking System.....
Jorge A. Chan-Lau
18. Regulatory Capital Charges for Too-Connected-to-Fail Institutions:
A Practical Proposal..........................................................
Jorge A. Chan-Lau
THE EXTREME VALUETHEORY APPROACH
19. Introduction to the Extreme Value Theory Approach to Stress Testing..........
Srobona Mitra
20. External Linkages and Contagion Risk in Irish Banks..........................
Elena duggar · Srobona Mitra
21. Identifying Spillover Risk in the International Banking System: An Extreme Value
Theory Approach...............................................
Jorge A. Chan-Lau · Martin CihAk · Srobona Mitra · Li Lian Ong
THE CONTINGENT CLAIMS ANALYSIS APPROACH
22. Introduction to the Contingent Claims Analysis Approach for Stress Testing
Dale F. Gray · Andreas A. Jobst · Cheng Hoon Lim · Yingbin Xiao
23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom
and Risks for the Financial Sector...................
Marta Ruiz-Arranz
Contents
24. Measuring and Analyzing Sovereign Risk with Contingent Claims................359
Michael T. Gapen · Dale F. Gray · Cheng Hoon Lim · Yingbin Xiao
25. Factor Model for Stress Testing with a Contingent Claims Model of
the Chilean Banking System....................................................387
Dale F. Gray · James P. Walsh
26. Systemic Contingent Claims Analysis..........................................409
Andreas A. Jobst · Dale F. Gray
27. Measuring Systemic Risk-Adjusted Liquidity...................................431
Andreas A. Jobst
PART III THE MACRO-FINANCIAL APPROACH
28. Introduction to the Macro-Financial Approach to Stress Testing................449
Andrea M. Maechler
29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector.....453
Francisco Vazquez · Benjamin M.Tabak · Marcos Souto
30. A Practical Example of the Nonperforming Loans Projection Approach to
Stress Testing..................................................................473
Torsten Wezel · Michel Canta · Manuel Luy
31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing
under Data-Restricted Environments..............................................485
Miguel A. Segoviano · Pablo Padilla
32. Banking Stability Measures.....................................................513
Miguel A. Segoviano · Charles A. E. Goodhart
33. A Forward-Looking Macroprudential Stress Test for U.S. Banks...................531
Geoffrey N. Keim · Andrea M. Maechler
34. The Real Effects of Financial Sector Risk......................................561
Alexander F. Tieman · Andrea M. Maechler
Index 579
TOOLKIT CONTENTS
The files listed below are available on the companion CD and at www.elibrary.imf.org/stress-test-toolkit.
Chapter 3
Stress Tester 3.0
Chapter 4
Excel Spreadsheet Macro for the Breaking Point Method
Chapter 5
Excel Spreadsheet Macro for the Next-Generation Solvency Stress Test
viii | Contents
Chapter 6
Excel Spreadsheet Macro for the Market and Funding Liquidity Stress Test
Chapter 7
Excel Spreadsheet Macro for the Next-Generation Systemwide Liquidity Stress Test
Chapter 10
Excel Add-in for the CreditRisk-i- Model
Chapter 12
Excel Spreadsheet Macro for Stress Testing Defined Benefit Pension Plans
Chapter 14
Excel-based Program for Bank Network Analysis
Chapter 20
Example Eviews Program Codes: External Linkages
Chapter 21
Example Eviews Program Codes: International Banking System
Chapter 24
Excel Spreadsheet for the Balance Sheet Risk Analysis
Chapter 33
Excel Spreadsheet Macro for Forward-Looking Macroprudential Stress Test
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| spelling | Internationaler Währungsfonds Verfasser (DE-588)1013082-2 aut A guide to IMF stress testing methods and models International Monetary Fund. Editor, Li Lian Ong Washington, DC International Monetary Fund, Publ. Service 2014 xviii, 591 pages 29 cm + 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Internationaler Währungsfonds (DE-588)1013082-2 gnd rswk-swf Financial risk management Stresstest (DE-588)7730549-8 gnd rswk-swf Stresstest (DE-588)7730549-8 s Internationaler Währungsfonds (DE-588)1013082-2 b DE-604 Ong, Li Lian Sonstige (DE-588)171034090 oth Erscheint auch als Online-Ausgabe 978-1-47555-129-7 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027709226&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | A guide to IMF stress testing methods and models Internationaler Währungsfonds (DE-588)1013082-2 gnd Financial risk management Stresstest (DE-588)7730549-8 gnd |
| subject_GND | (DE-588)1013082-2 (DE-588)7730549-8 |
| title | A guide to IMF stress testing methods and models |
| title_auth | A guide to IMF stress testing methods and models |
| title_exact_search | A guide to IMF stress testing methods and models |
| title_full | A guide to IMF stress testing methods and models International Monetary Fund. Editor, Li Lian Ong |
| title_fullStr | A guide to IMF stress testing methods and models International Monetary Fund. Editor, Li Lian Ong |
| title_full_unstemmed | A guide to IMF stress testing methods and models International Monetary Fund. Editor, Li Lian Ong |
| title_short | A guide to IMF stress testing |
| title_sort | a guide to imf stress testing methods and models |
| title_sub | methods and models |
| topic | Internationaler Währungsfonds (DE-588)1013082-2 gnd Financial risk management Stresstest (DE-588)7730549-8 gnd |
| topic_facet | Internationaler Währungsfonds Financial risk management Stresstest |
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