Sweden : Financial Sector Assessment Program Update: Technical Note on Stress Testing of the Banking Sector.

Format:

Book

Government document

Author/Creator:

International Monetary Fund.

Series:

IMF Staff Country Reports; Country Report ; No. 2011/288

IMF Staff Country Reports

Language:

English

Subjects (All):

Banks and banking--Sweden.

Banks and banking.

Finance--Sweden.

Finance.

Physical Description:

1 online resource (41 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2011.

Language Note:

English

Summary:

Although Sweden has recovered from the financial crisis, authorities have already initiated exit measures from crisis response policies. The Financial Sector Assessment Program (FSAP) Update undertook a financial stability analysis of the banking sector, including a comprehensive stress-testing exercise of banks’ solvency and liquidity positions. While the banking sector appears resilient to credit risk stress tests, liquidity stress test results reveal some weaknesses owing to its heavy reliance on wholesale funding. Swedish bank groups have extensive cross-border activities, mostly in the Scandinavian and Baltic regions.

Contents:

Cover; Contents; Glossary; I. Executive Summary; II. Structure and Soundness of the Banking Sector; Figures; 1. Banks' Asset Allocation; 2. Major Swedish Banks Funding Structure; III. Top-Down Banking Stress Tests; A. Macro Stress Tests; Macroeconomic scenarios; Credit risk models; Sovereign risk losses; Profits and funding costs; Dividend payout; Macro credit stress-test results; B. Liquidity Risk Stress Tests; C. Large Exposures and Contagion Risk; IV. Conclusions and Recommendations; Tables; 1. The Core Set of Financial Soundness Indicators for Banks, 2003-10

2. Funding Cost and Other Earnings Assumptions3. Assumptions for Short-Term Liquidity Measure; 4. Assumptions for Structural Liquidity Measure; 5. Summary of Macro Stress Testing Results, 2011-15; 6. Concentration Risk Stress-Test Results; 3. Selected Western European Countries: Banking Sector Financial Soundness Indicators, 2010; 4. Market Indicators for the Four Major Banks, 2007-10; 5. Macroeconomic Assumptions in Macro-Stress Tests; 6. Macro Stress-Test Results, 2011-15; 7. Aggregate Macro Stress-Test Results, 2010-15; 8. Structural Liquidity Stress-Test Results, June 2010; Appendices

I. The Credit Risk Models Used for the FSAP UpdateAppendix Tables; 7. Geographic and Loan Portfolio Allocation Used in Riksbank's Credit-Risk Models; II. Sovereign Haircut Calculations; III. Basel III New Capital Requirements; 8. Overview on the Basel III Minimum Capital Requirements; 9. Individual Bank Minimum Capital Conservation Standards; 10. Individual Bank Minimum Capital Conservation Standards, When a Bank is Subject to a 2.5 Percent Countercyclical Requirement

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 22, 2014).

ISBN:

9786613881090

9781463990077

1463990073

9781463958589

1463958587

9781283568647

1283568640

9781463967116

146396711X