Stress-testing the banking system : methodologies and applications / edited by Mario Quagliariello.

Format:

Book

Contributor:

Quagliariello, Mario.

Language:

English

Subjects (All):

Banks and banking.

Banks and banking--Risk management.

Bank failures--Prevention.

Bank failures.

Financial crises.

Risk management.

Physical Description:

xxii, 329 pages : illustrations ; 26 cm

Place of Publication:

Cambridge, UK ; New York : Cambridge University Press, 2009.

Contents:

Part I Fundamentals 5

1 A framework for assessing financial stability / Maurizio Trapanese 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

2 Macroeconomic stress-testing: definitions and main components / Mario Quagliariello 18

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

3 Macroeconomic stress-testing banks: a survey of methodologies / Mathias Drehmann 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

4 Scenario design and calibration / Takashi Isogai 68

4.1 Introduction 68

4.2 Objectivity and plausibility of stress-testing 69

4.3 Technical discussion on the plausibility of stress scenarios 74

4.4 Conclusions 77

References 78

5 Risk aggregation and economic capital / Vincenzo Tola 80

5.1 Introduction 80

5.2 Some basic definitions 81

5.3 Related literature 83

5.4 Copulas 84

5.5 Capulas in an economic capital model 87

5.6 Conclusions 96

References 97

6 Data needs for stress-testing / Francesco Cannata, Ulrich Krüger 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 organizing data 110

References 115

7 Use of macro stress tests in policy-making / Patrizia Baudino 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 131

8 Stress-testing credit risk: the Italian experience / Sebastiano Laviola, Juri Marcucci, Mario Quagliariello 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 bank using economic-value-of-equity (EVE) models / Mike Carhill 149

9.1 Introduction 149

9.2 The EVE concept 151

9.3 Future business 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, Macro Stringa 165

10.1 Introduction 165

10.2 A framework for integrating interest rate and credit risk 168

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, Marc Prp̲per 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, Martin Summer 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, Clm̌ent Martin 238

13.1 Main features and objectives of the French stress-testing framework 238

13.2 Stress-testing in 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

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 Glogowski 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 Castrň, John Fell, Nico Valckx 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, Stp̌hanie Stolz, Mark Swinburne 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.

Notes:

Includes bibliographical references and index.

ISBN:

9780521767309

052176730X

OCLC:

316772256

Online:

Contributor biographical information

Publisher description