Stress Testing Within the Banking Industry : A Comparative Study Within the G-20.

Format:

Book

Author/Creator:

Lessambo, Felix.

Language:

English

Subjects (All):

Banks and banking--Risk management.

Banks and banking.

Physical Description:

1 online resource (243 pages)

Edition:

1st ed.

Place of Publication:

Bradford : Ethics International Press Limited, 2024.

Summary:

Central banks have become part of our modern life. Understanding their operations and policies is important, even to a layperson. At the core of their mission is financial stability. The stress test is one of the tools that Central Banks (or monetary authorities) use to assess how sound commercial banks are within their jurisdictions at any point in time. Bank stress testing is designed to test the resilience of banks to severe but plausible shocks. These scenarios are conceived around a fall of asset prices, a shock to interest rates, a reassessment of risk premiums or a large depreciation to correct an external imbalance. Nonetheless, passing a stress test does not provide a blind assurance that a financial institution is safe and outside the reach of collapse. This book aims to educate on the risks tested and the methods often used in stress testing. It is the first book in its field to make a comprehensive and up-to-date analysis of stress testing, including climate risk.

Contents:

Intro

List of Figures

List of Acronyms

Introduction

Chapter 1 Stress Test and Reverse Stress Test

1.1 General

1.2 Stress testing objectives

1.3 Stress testing principles11F

1.4 Stress testing approaches/ objectives

1.4.1 Microprudential approach

1.4.2 Macroprudential approach

1.5 Stress test scenarios

1.6 Stress test scenario analysis

1.7 Risk covered

1.8 Reverse Stress Test

1.8.1 Types of reverse Stress Test

1.8.2 Reverse Stress test features

1.8.3 Reverse Stress test: Regulatory guidance

1.8.4 Reverse Stress Test Scenarios

Chapter 2 Bank Solvency Risk

2.1 General

2.2 Solvency Risk Measures

2.2.1 The tier 1 common capital ratio (T 1CR)

2.2.2 The tier 1 leverage ratio (T 1LV GR)

2.3 Solvency risk stress test

Chapter 3 Bank Credit Risk

3.1 General

3.2 Types of credit risks

3.2.1 Credit default risk

3.2.2 Concentration risk

3.2.3 Country risk

3.3 Credit risk stress testing

3.3.1 Levels of credit stress testing

3.3.2 Types of credit stress test

Chapter 4 Bank Market Risk

4.1 General

4.2 Types of market risks

Interest Rate Risk

4.3 Market risk stress testing

Chapter 5 Bank Operational Risks

5.1 General

5.2 Types of operational risks

5.3 Operational risk stress test

Chapter 6 Bank Liquidity Risk

6.1 General

6.2 Types of Liquidity risks

6.2.1 Asset liquidity risk

6.2.2 Funding liquidity risks

6.3 Liquidity stress test methodology

6.4 Bank liquidity stress test

6.4.1 The Liquidity Coverage Ratio approach

6.4.2 The Cash flow approach

6.4.3 Net stable funding ratio

6.5 Scenario approaches

Chapter 7 Climate-related Financial Risk

7.1 General

7.2 Types of climate-related financial risks

7.2.1 Physical risks

7.2.2 Transition risks

7.3 Climate-related change drivers.

7.4 Climate-related financial risk stress testing

7.4.1 Stress test models

7.5 Conclusion

Chapter 8 Bank Stress Testing in the United States

8.1 General

8.2 Types of Stress tests

8.2.1 Comprehensive Capital Analysis and Review (CCAR)

8.2.2 Dodd-Frank Act Stress Test (DFAST)

8.3 Stress test scenarios

8.4 Areas tested

8.4 Federal Reserve Stress test result for 2022

Chapter 9 Bank Stress Testing in Canada

9.1 General

9.2 Stress testing types

9.3 Stress testing scenarios

9.4 Core risks tested

Chapter 10 Bank Stress Testing in the European Union

10.1 General

10.2 Stress test scenarios

10.2.1 Baseline scenario

10.2.2 Adverse scenario

10.3 EU Stress test methodology

10.4 Individual risk areas158F

10.5 EU Stress test results

Chapter 11 Less Significant Bank Stress Testing Germany, France, Italy, and Spain

11.1 General

11.2 Germany

11.2.1 Stress test methodology

11.2.3 Stress test scenario

11.3 France

11.3.1 Banque de France Stress testing framework

11.3.2 Banque de France Risks tested

11.4 Italy

11.4.1 Stress test scenario

11.4.2 Risks tested

11.5 Spain

11.5.1 Stress test scenarios

11.5.2 Areas tested

Chapter 12 Bank Stress Testing in the United Kingdom

12.1 General

12.2 Stress test objectives

12.3 Asset quality reviews and stress testing

12.4 Mapping macroeconomic forecasts into income statement projections

12.5 Stress test scenarios

Chapter 13 Bank Stress Testing in Switzerland

13.1 General

13.2 Stress test framework

13.3 Stress test scenarios

Chapter 14 Bank Stress Testing in Japan

14.1 General

14.2 Stress test scenarios

14.3 Bank areas tested

Chapter 15 Bank Stress Testing in China

15.1 General

15.2 Test Approaches.

Chapter 16 Bank Stress Testing in India

16.1 General.

16.2 Categories of stress test

16.2.1 The sensitivity tests

16.2.2 The scenario tests

16.3 Stress scenarios

16.4 RBI Reverse Stress Testing

Chapter 17 Bank Stress Testing in Indonesia

17.1 General

17.2 Stress test scenarios

17.3 Areas tested

Chapter 18 Bank Stress Testing in Korea

18.1 General

18.2 Stress test approach

18.3 Stress test scenarios

18.4 Solvency and liquidity test

18.4.1 Solvency test

18.4.2 Liquidity stress test

18.4.3 Credit risk

Chapter 19 Bank Stress Testing in Russia

19.1 General

19.2 Stress test objectives

19.3 Stress test approaches

19.4 Stress test scenarios

19.5 Risks Covered

Chapter 20 Bank Stress Testing in Turkey

20.1 General

20.2 Stress test scenarios

20.3 Risks covered

Chapter 21 Bank Stress Testing in Saudi Arabia

21.1 General

21.2 SAMA Macro-Prudential Supervisory Measures

21.3 Stress test approach

21.4 Stress test scenarios

21.5 Stress test conducted

21.5.1 The solvency test

21.5.2 The Liquidity test

Chapter 22 Bank stress testing in Australia

22.1 General

22.2 The stress test framework

22.3 Stress test scenarios

22.4 Tested areas

Chapter 23 Bank Stress Testing in Brazil, Mexico, and Argentina

23.1 Stress test methodology &amp

approach

23.2 Stress test scenarios

Argentina-Stress testing of the financial system

Chapter 24 Bank Stress Testing in South Africa

24.1 General

24.2 Stress test approach

24.3 Stress test scenarios

24.3.1 The solvency stress test

24.3.2 Liquidity stress test

Chapter 25 Global Bank Stress Testing

25.1 General

25.2 International cooperation

Example

Cross-border stress testing: Australia/New Zealand

25.3 The GST framework and methodology

25.4 GST Scenarios covered

Bibliography

Glossary of Terms.

Notes:

Description based on publisher supplied metadata and other sources.

Other Format:

Print version: Lessambo, Felix Stress Testing Within the Banking Industry

ISBN:

9781804417591