Denmark : Financial Sector Assessment Program: Technical Note: Stress Testing.

Format:

Book

Government document

Author/Creator:

International Monetary Fund.

Series:

IMF Staff Country Reports; Country Report ; No. 2007/125

IMF Staff Country Reports

Language:

English

Subjects (All):

Banks and banking--Denmark.

Banks and banking.

Insurance--Denmark.

Insurance.

Financial crises--Denmark--Prevention.

Financial crises.

Risk management--Denmark.

Risk management.

Denmark--Economic conditions--1945-.

Denmark.

Denmark--Economic policy.

Physical Description:

1 online resource (45 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2007.

Language Note:

English

Summary:

This technical note describes the stress testing exercises carried out for the Danish commercial banking system and the insurance sector. The tests were conducted as part of the Financial Sector Assessment Program for Denmark and were developed in collaboration with the Danish Financial Supervisory Agency (DFSA) and Danmarks Nationalbank (DNB). Two approaches—bottom-up and top-down—were employed in the analysis. Results of the stress test show that under changing macroeconomic conditions, credit risk could materialize, causing a substantial deterioration in banks’ results.

Contents:

Cover; Contents; Glossary; I. Introduction; II. Coverage; III. Methodology; A. Definition of Shocks and Macroeconomic Scenarios; B. The Bottom-Up Approach; C. The Top-Down Approach; Figures; 1. Portfolio Loss Distribution; D. Exercise Caveats; 2. Stress Test Procedure; IV. Definition of Shocks and Macroeconomic Scenarios; A. Economic Outlook and Vulnerabilities; 3. Recent Economic and Financial Developments in Denmark; B. Single Factor Shocks and Macroeconomic Scenarios; 4. Fee Income as a Percentage of Pretax Income; Tables

1. Macroeconomic Scenarios: Percentage Deviations From Baseline ScenarioV. Results: Top Down Approach; A. Credit Risk; 5. Probability of Defaults as Functions of Macroeconomic Variables; 2. Significant Explanatory Variables; 6. Stressed Probability of Defaults; 3a. Expected Losses as a Percentage of Risk-Weighted Assets; 3b. Unexpected Losses as a Percentage of Risk-Weighted Assets; 7. Portfolio Loss Distribution Under Scenarios 1-3; 4a. Expected Loss Buffer and Capital Adequacy Ratio for Group 1; 4b. Non-Interest Income Items as a Percentage of Pre-Tax Income for Group 1

5a. Expected Loss Buffer-S5b. CAR-Decrease and CAR-S; 5c. CAR-S-Net; 8. Banks Expected Losses Estimated by the Danmarks Nationalbank; 9. Danish Banks Excess Liquidity; 10. Banks Deposit-Lending Shortfall, Net Debt to Other Financial Institutions and Bonds Issues, 1980-2005; 11. Concentration Measures in Selected European Union Member States, End-2004; VI. Results: Bottom up Approach; A. Credit Risk; 6. Bottom-Up Results: Expected Losses; B. Market Risk; 7. Bottom-Up Results: CAR-S; 8. Bottom-Up Results of Single Factor Shocks; C. Insurance Sector

9. Danish Banking System Market Risk Indicators, 2000-200410. Results of Single Factor Shocks estimated by the Mission; 11. Bottom-Up Insurance Sector Results; VII. Technical Recommendations; Appendixes; 1. The Conditional Probability of Default Methodology; 2. The Conditional Probability of Default Efficiency; 3. The Consistent Information Multivariate Density Methodology; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF copyright page (ebrary, viewed July 3, 2015).

ISBN:

9786613742032

9781462355501

1462355501

9781451986792

1451986793

9781280919855

128091985X

9781452750873

1452750874