Germany : Technical Note on Stress Testing.

Format:

Book

Government document

Author/Creator:

International Monetary Fund.

Series:

IMF Staff Country Reports; Country Report ; No. 2011/371

IMF Staff Country Reports

Language:

English

Subjects (All):

Banks and banking--Germany.

Banks and banking.

Financial risk management--Germany.

Financial risk management.

Physical Description:

1 online resource (68 p.)

Place of Publication:

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

Language Note:

English

Summary:

This note summarizes the stress tests undertaken for the German banking system as part of the Financial Sector Assessment Program (FSAP) update. Solvency tests for the German banking system assessed medium-term vulnerabilities under two adverse macroeconomic scenarios. The tests considered a variety of measures of soundness, and took into account funding costs, sovereign risk, upcoming changes in the regulatory rules, and behavioral changes of banks. The test results revealed that German banks are robust against many shocks, and that important vulnerabilities still remain.

Contents:

Cover; Contents; Glossary; Executive Summary; Tables; 1. Macroeconomic Variables under the Scenarios used for the Solvency Tests; 2. Overview of Other Assumptions used for the Solvency Tests; 3. Liquidity Test: Overview of Assumptions; I. Solvency Stress Tests; A. Overview; B. Macroeconomic Scenario; C. Satellite Models; D. Other Elements of Stress Tests; 4. Pay-out Ratio Conditional on Capitalization under Stress; Figures; 1. Credit Growth Conditional on Tier 1 Ratio; 5. Overview on the Basel III Minimum Capital Requirements; 6. Haircuts on Debt Holdings for Core Tests

E. Balance Sheet-Based Solvency Tests7. Overview of Outcome of Core Solvency Tests by Banking Group; 2. Outcome of Core Solvency Tests-Dispersion by Bank Group; 3. Projected Bank ROC and Dividend Payout Yield; 8. Sensitivity Analysis for Small Private Banks; F. Market-based (Systemic) Solvency Test; 4. Supplementary Tests for the Large Banks; 9. Individual Contributions of Large Banks to Systemic Risk from Market-Implied Expected Losses; 10. Fair Value Insurance Premium for Individual Contributions of Large Banks to Systemic Risk

5. Market-Implied Historical Contingent Liabilities of Large Commercial BanksII. Liquidity Tests for Bank; 6. Forecast Market-Implied Expected Losses; 11. Specification of the Liquidity Tests; 7. Liquidity Stress Test Results; III. Stress Tests Carried out by the German Authorities; 8. Proxies for LCR and NSFR; IV. References; Appendixes; I. Risk Assessment Matrix; II. Satellite Models; III. Treatment of Fixed-Income Securities; IV. The Contingent Claims Analysis Approach-Standard Definition; Box; 1. Estimation of the Empirical SPD

V. Heuristic Approximation of Contingent Liabilities from the Financial SectorVI. The Systemic CCA Methodology-Calculating the Systemic Worst-Case Scenario Using Multivariate Generalized Extreme Value

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 23, 2014).

ISBN:

9786613875709

9781463944902

146394490X

9781463959333

1463959338

9781283563253

1283563258

9781463935061

1463935064