From Stress to Costress: Stress Testing Interconnected Banking Systems
This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2012
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Schriftenreihe: | IMF Working Papers
Working Paper No. 12/53 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques-similar to those applied in the insurance industry - to estimate banks' credit portfolio loss distributions, making no assumptions about the cause of default |
Beschreibung: | 1 Online-Ressource (34 p) |
ISBN: | 1475502222 9781475502220 |
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spelling | Maino, Rodolfo Verfasser aut From Stress to Costress Stress Testing Interconnected Banking Systems Maino, Rodolfo Washington, D.C International Monetary Fund 2012 1 Online-Ressource (34 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/53 This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques-similar to those applied in the insurance industry - to estimate banks' credit portfolio loss distributions, making no assumptions about the cause of default Online-Ausg Tintchev, Kalin Sonstige oth http://elibrary.imf.org/view/IMF001/12647-9781475502220/12647-9781475502220/12647-9781475502220.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Maino, Rodolfo From Stress to Costress Stress Testing Interconnected Banking Systems |
title | From Stress to Costress Stress Testing Interconnected Banking Systems |
title_auth | From Stress to Costress Stress Testing Interconnected Banking Systems |
title_exact_search | From Stress to Costress Stress Testing Interconnected Banking Systems |
title_exact_search_txtP | From Stress to Costress Stress Testing Interconnected Banking Systems |
title_full | From Stress to Costress Stress Testing Interconnected Banking Systems Maino, Rodolfo |
title_fullStr | From Stress to Costress Stress Testing Interconnected Banking Systems Maino, Rodolfo |
title_full_unstemmed | From Stress to Costress Stress Testing Interconnected Banking Systems Maino, Rodolfo |
title_short | From Stress to Costress |
title_sort | from stress to costress stress testing interconnected banking systems |
title_sub | Stress Testing Interconnected Banking Systems |
url | http://elibrary.imf.org/view/IMF001/12647-9781475502220/12647-9781475502220/12647-9781475502220.xml |
work_keys_str_mv | AT mainorodolfo fromstresstocostressstresstestinginterconnectedbankingsystems AT tintchevkalin fromstresstocostressstresstestinginterconnectedbankingsystems |