A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs / Andreas Jobst, Li Ong, Christian Schmieder.

Format:

Book

Government document

Author/Creator:

Jobst, Andreas.

Contributor:

Ong, Li.

Schmieder, Christian.

Series:

IMF Working Papers; Working Paper ; No. 2013/068

IMF Working Papers

Language:

English

Subjects (All):

Banks and banking--Econometric models.

Banks and banking.

Bank protection.

Physical Description:

1 online resource (56 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

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.

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

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9781557753427

1557753423

9781475573923

1475573928

9781299461925

1299461921

9781475569513

1475569513