Germany : Financial Sector Assessment Program-Stress Testing the Banking and Insurance Sectors-Technical Notes.

Format:

Book

Government document

Author/Creator:

International Monetary Fund. Monetary and Capital Markets Department.

Series:

IMF Staff Country Reports; Country Report ; No. 2016/191

IMF Staff Country Reports

Language:

English

Subjects (All):

Banks and banking--State supervision--Germany.

Banks and banking.

Insurance--State supervision--Germany.

Insurance.

Physical Description:

1 online resource (65 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2016.

Summary:

This paper assesses Germany’s financial system and, in particular, its potential for spillover risk. The analysis comprises structural and financial statement analyses, detailed stress tests for banks and insurance companies, and spillover risk analysis. Solvency and liquidity stress tests cover all 1,776 banks operating in Germany, and insurance-sector analysis covers 93 percent of the life insurance sector in terms of the assets. Germany is highly interconnected through trade and financial channels. The total consolidated claims of German banks on foreign banks, nonbank private sector, and public sector stood at about $1.7 trillion in the second quarter of 2015, with the majority of cross-border exposures vis-à-vis France, Italy, the United Kingdom, and the United States.

Contents:

Cover; CONTENTS; EXECUTIVE SUMMARY; INTRODUCTION; FINANCIAL SYSTEM AND MARKET STRUCTURE; A. Economic and Financial Interlinkages; B. Banking Sector; C. Insurance Sector; STRESS TESTING THE BANKING SECTOR; A. Solvency Risk; B. Liquidity Risk; STRESS TESTING THE INSURANCE SECTOR; A. Data and Methodologies; B. Results; SYSTEMIC RISK ANALYSIS; A. Methodologies; B. Results; POLICY RECOMMENDATIONS; BOX; 1. Loss Absorption Capacities; FIGURES; 1. Cross-Border Banking Exposures; 2. Financial System Structure; 3. Banking System Consolidation; 4. Banking Sector Structure in 2010 and 2015

5. Geographical Loan Distribution6. Net Interest Margins for Selected Types of German Banks; 7. Peer Comparison: Asset Quality and Profitability; 8. Risk- and Asset-based Capital Ratios, and RWA Density; 9. Evidence of Searching for Yield; 10. Sensitivities of Liabilities and Guaranteed Rate; 11. Life Insurers' Interest Rates; 12. Macroeconomic Scenarios-Key Variables; 13. Sectoral Exposure Composition and Loan Loss Provisions (2014); 14. Solvency Stress Test; 15. Low Interest Rates and Bank Profitability (Bottom-Up Test); 16. Sovereign Exposures, Risk Index, and Valuation Losses under Stress

17. LCR Estimates18. LCR Reported by German Banks in the BCBS QI5); 19. Net Stable Funding Ratio (NSFR) Over Time; 20. Solvency I Ratios; 21. Trend of Solvency II SCR Coverage Ratio (Group Level); 22. Own Funds and Sources of Loss Absorption Capacities; 23. Overall SCR Coverage Ratio; 24. Impact Analysis of SCR Changes; 25. Relationship between Loss and Capital Shortfalls; 26. Outward and Inward Spillover of the German Banking Sector; 27. Interconnectedness among Publicly Traded German Banks and Insurers; 28. Net Contribution to Systemic Risk

29. Interconnectedness between Deutsche Bank, Commerzbank, and GSIBsTABLES; 1. Key Indicators for Different Types of Banks; 2. Sovereign Exposures and Duration; 3. Further Impact Analysis of Large, Medium, and Small Insurers; ANNEXES; I. Insurance Sector Safety Net; II. Technical Appendix On Systemic Risk and Spillover Analysis; III. Stress Test Matrix (STEM) For The Banking Sector; IV. Stress Test Matrix (STEM) for the Insurance Sector; V. Stress Test Matrix (STEM) For Systemic Risk Analysis

Notes:

Description based upon print version of record.

Description based on online resource; title from PDF title page (ebrary, viewed September 11, 2016).

ISBN:

9781498327756

1498327753

9781498328708

1498328709