Stressing to Breaking Point : Interpreting Stress Test Results / Rupert Worrell.

Format:

Book

Government document

Author/Creator:

Worrell, Rupert.

Series:

IMF Working Papers; Working Paper ; No. 2008/148

IMF working paper ; WP/08/148

IMF Working Papers

Language:

English

Subjects (All):

Banks and banking--Risk management.

Banks and banking.

Financial crises.

Physical Description:

1 online resource (20 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of increasing intensity, up to the point where regulatory norms are breached, or banks become insolvent. This approach offers useful insight and guidance for regulatory policy and intervention, using existing methodology and data. The illustrations presented in this paper are a small sample of the wide variety of shocks, scenarios, and assumptions to which this approach may be applied.

Contents:

Contents; I. Introduction; II. Credit Risk Assessment; Figures; 1. The Capital Adequacy Ratio After Losses on Mortgages; Tables; 1. Nonperforming Loan Migration Matrix; 2. The Capital Adequacy Ratio After Losses on Mortgages and Export and Personal loans; III. Exchange Rate Risk; 3. The Capital Adequacy Ratio with Different Migration Patterns; IV. Interest Rate Changes; 4. The Effect of Exchange Rate Changes on the Capital Adequacy Ratio.; 5. Banking System Capital Adequacy Ratio, Devaluation Effects; 6. Total Devaluation Effects: Different Losses on Foreign Currency Loans

7. The Capital Adequacy Ratio After Interest Rate Shocks 8. The Capital Adequacy Ratio with Various Rates of Credit Growth; V. Credit Growth; 9. The Capital Adequacy Ratio with Various Loan Migration Rates; VI. Combined Scenario; 10. Banks with Different Initial Nonperforming Loans; 2. Parameters of Combined Scenarios; 11. Credit Growth, Devaluation, Nonperforming Loan Increase, and Interest Rate Fall; VII. Capital Inflow and Reversal; VIII. Summary; 3. Parameters for the Capital Flow Scenario; 12. Capital Inflow and Reversal; Appendix Tables; 4. Capital Adequacy; 5. Loan Distribution

6. Loan Quality 7. Foreign Assets and Liabilities; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF front page (ebrary, viewed February 26, 2014).

ISBN:

9786612840999

9781462353781

1462353789

9781452738994

1452738998

9781282840997

1282840991

9781451870060

145187006X

OCLC:

252863046