A framework for macroprudential bank solvency stress testing :: application to S-25 and other G-20 country FSAPs /
"The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress te...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Körperschaft: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2013.
|
| Schriftenreihe: | IMF working paper ;
WP/13/68. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF's surveillance of member countries' banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems ("S-25") plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates"--Abstract. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Mar. 20, 2013). "Monetary and Capital Markets Department"--Page 2 of pdf. "March 2013"--Page 2 of pdf. |
| Beschreibung: | 1 online resource (55 pages) : color illustrations. |
| Bibliographie: | Includes bibliographical references (pages 50-54). |
| ISBN: | 9781475569513 1475569513 9781616355074 1616355077 |
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| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2013. | ||
| 300 | |a 1 online resource (55 pages) : |b color illustrations. | ||
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| 490 | 1 | |a IMF working paper ; |v WP/13/68 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Mar. 20, 2013). | ||
| 500 | |a "Monetary and Capital Markets Department"--Page 2 of pdf. | ||
| 500 | |a "March 2013"--Page 2 of pdf. | ||
| 520 | |a "The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF's surveillance of member countries' banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems ("S-25") plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates"--Abstract. | ||
| 504 | |a Includes bibliographical references (pages 50-54). | ||
| 505 | 0 | |a Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control. | |
| 505 | 8 | |a C. Capital StandardsD. Method; 3. Basel III Transition Schedule; Macroeconomic and satellite modelling; 4. General Representation of Satellite Modeling in Bank Solvency Stress Testing; 5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update; 6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update; Stress test models; 4. Scorecard on Data and IMF Stress Test Models; 7. Stress Test Models Developed by IMF Staff. | |
| 505 | 8 | |a 8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based ApproachesE. Communication; Presentation of outputs; Publication; IV. Concluding Remarks; 9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update; 10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update; 11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update; 5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update. | |
| 505 | 8 | |a AppendicesI. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries; II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update; III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update; References. | |
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| 650 | 0 | |a Liquidity (Economics) |0 http://id.loc.gov/authorities/subjects/sh85077403 | |
| 650 | 0 | |a Banks and banking. |0 http://id.loc.gov/authorities/subjects/sh85011609 | |
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| author | Jobst, Andreas Ong, Li Lian Schmieder, Christian |
| author_corporate | International Monetary Fund. Monetary and Capital Markets Department |
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| author_facet | Jobst, Andreas Ong, Li Lian Schmieder, Christian International Monetary Fund. Monetary and Capital Markets Department |
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| contents | Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control. C. Capital StandardsD. Method; 3. Basel III Transition Schedule; Macroeconomic and satellite modelling; 4. General Representation of Satellite Modeling in Bank Solvency Stress Testing; 5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update; 6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update; Stress test models; 4. Scorecard on Data and IMF Stress Test Models; 7. Stress Test Models Developed by IMF Staff. 8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based ApproachesE. Communication; Presentation of outputs; Publication; IV. Concluding Remarks; 9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update; 10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update; 11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update; 5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update. AppendicesI. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries; II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update; III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update; References. |
| ctrlnum | (OCoLC)830560577 |
| dewey-full | 657.8333045 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 657 - Accounting |
| dewey-raw | 657.8333045 |
| dewey-search | 657.8333045 |
| dewey-sort | 3657.8333045 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn830560577 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:09Z |
| institution | BVB |
| isbn | 9781475569513 1475569513 9781616355074 1616355077 |
| language | English |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Jobst, Andreas, author. A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / Andreas A. Jobst, Li Lian Ong and Christian Schmieder. [Washington, D.C.] : International Monetary Fund, ©2013. 1 online resource (55 pages) : color illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/13/68 Title from PDF title page (IMF Web site, viewed Mar. 20, 2013). "Monetary and Capital Markets Department"--Page 2 of pdf. "March 2013"--Page 2 of pdf. "The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF's surveillance of member countries' banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems ("S-25") plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates"--Abstract. Includes bibliographical references (pages 50-54). Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control. C. Capital StandardsD. Method; 3. Basel III Transition Schedule; Macroeconomic and satellite modelling; 4. General Representation of Satellite Modeling in Bank Solvency Stress Testing; 5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update; 6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update; Stress test models; 4. Scorecard on Data and IMF Stress Test Models; 7. Stress Test Models Developed by IMF Staff. 8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based ApproachesE. Communication; Presentation of outputs; Publication; IV. Concluding Remarks; 9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update; 10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update; 11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update; 5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update. AppendicesI. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries; II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update; III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update; References. Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Liquidity (Economics) http://id.loc.gov/authorities/subjects/sh85077403 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Finances Gestion du risque. Liquidité (Économie politique) Macroéconomie. BUSINESS & ECONOMICS Accounting Financial. bisacsh Banks and banking fast Financial risk management fast Liquidity (Economics) fast Macroeconomics fast Ong, Li Lian, author. Schmieder, Christian, author. International Monetary Fund. Monetary and Capital Markets Department. has work: A framework for macroprudential bank solvency stress testing (Text) https://id.oclc.org/worldcat/entity/E39PCFGYBqQ6QrfCRh9Pm99HJC https://id.oclc.org/worldcat/ontology/hasWork IMF working paper ; WP/13/68. FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=565003 Volltext |
| spellingShingle | Jobst, Andreas Ong, Li Lian Schmieder, Christian A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / IMF working paper ; Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control. C. Capital StandardsD. Method; 3. Basel III Transition Schedule; Macroeconomic and satellite modelling; 4. General Representation of Satellite Modeling in Bank Solvency Stress Testing; 5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update; 6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update; Stress test models; 4. Scorecard on Data and IMF Stress Test Models; 7. Stress Test Models Developed by IMF Staff. 8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based ApproachesE. Communication; Presentation of outputs; Publication; IV. Concluding Remarks; 9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update; 10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update; 11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update; 5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update. AppendicesI. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries; II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update; III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update; References. Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Liquidity (Economics) http://id.loc.gov/authorities/subjects/sh85077403 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Finances Gestion du risque. Liquidité (Économie politique) Macroéconomie. BUSINESS & ECONOMICS Accounting Financial. bisacsh Banks and banking fast Financial risk management fast Liquidity (Economics) fast Macroeconomics fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2005007073 http://id.loc.gov/authorities/subjects/sh85077403 http://id.loc.gov/authorities/subjects/sh85011609 http://id.loc.gov/authorities/subjects/sh85079443 |
| title | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / |
| title_auth | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / |
| title_exact_search | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / |
| title_full | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / Andreas A. Jobst, Li Lian Ong and Christian Schmieder. |
| title_fullStr | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / Andreas A. Jobst, Li Lian Ong and Christian Schmieder. |
| title_full_unstemmed | A framework for macroprudential bank solvency stress testing : application to S-25 and other G-20 country FSAPs / Andreas A. Jobst, Li Lian Ong and Christian Schmieder. |
| title_short | A framework for macroprudential bank solvency stress testing : |
| title_sort | framework for macroprudential bank solvency stress testing application to s 25 and other g 20 country fsaps |
| title_sub | application to S-25 and other G-20 country FSAPs / |
| topic | Financial risk management. http://id.loc.gov/authorities/subjects/sh2005007073 Liquidity (Economics) http://id.loc.gov/authorities/subjects/sh85077403 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Finances Gestion du risque. Liquidité (Économie politique) Macroéconomie. BUSINESS & ECONOMICS Accounting Financial. bisacsh Banks and banking fast Financial risk management fast Liquidity (Economics) fast Macroeconomics fast |
| topic_facet | Financial risk management. Liquidity (Economics) Banks and banking. Macroeconomics. Finances Gestion du risque. Liquidité (Économie politique) Macroéconomie. BUSINESS & ECONOMICS Accounting Financial. Banks and banking Financial risk management Macroeconomics |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=565003 |
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