Verfügbarkeit: Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System:

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly heter...

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1. Verfasser:	Gray, Dale F. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2008
Schriftenreihe:	IMF Working Papers Working Paper No. 08/89
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers
Zusammenfassung:	This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly heterogeneous. To reduce the number of variables linked to the banks'' risk to a tractable number, we apply principal component analysis. Vector autoregressions of risk indicators with the most significant factors show strong ties from financial markets and regional developments. Impulse response functions from these factors are derived, which allow for scenario testing. The scenarios derived in the paper illustrate how the magnitude and persistence of responses of bank credit risk can vary across banks in the system
Beschreibung:	1 Online-Ressource (37 p)
ISBN:	1451869509 9781451869507

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spelling	Gray, Dale F. Verfasser aut Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System Gray, Dale F Washington, D.C International Monetary Fund 2008 1 Online-Ressource (37 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 08/89 This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly heterogeneous. To reduce the number of variables linked to the banks'' risk to a tractable number, we apply principal component analysis. Vector autoregressions of risk indicators with the most significant factors show strong ties from financial markets and regional developments. Impulse response functions from these factors are derived, which allow for scenario testing. The scenarios derived in the paper illustrate how the magnitude and persistence of responses of bank credit risk can vary across banks in the system Online-Ausg Walsh, James Sonstige oth http://elibrary.imf.org/view/IMF001/09133-9781451869507/09133-9781451869507/09133-9781451869507.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Gray, Dale F. Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title_auth	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title_exact_search	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title_exact_search_txtP	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title_full	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System Gray, Dale F
title_fullStr	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System Gray, Dale F
title_full_unstemmed	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System Gray, Dale F
title_short	Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
title_sort	factor model for stress testing with a contingent claims model of the chilean banking system
url	http://elibrary.imf.org/view/IMF001/09133-9781451869507/09133-9781451869507/09133-9781451869507.xml
work_keys_str_mv	AT graydalef factormodelforstresstestingwithacontingentclaimsmodelofthechileanbankingsystem AT walshjames factormodelforstresstestingwithacontingentclaimsmodelofthechileanbankingsystem

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