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- Series:
- Books
- Author(s):
- Li Ong
- Publisher:
- INTERNATIONAL MONETARY FUND
- Published Date:
- December 2014
- DOI:
- http://dx.doi.org/10.5089/9781484368589.071
- ISBN:
- 9781484368589
- Page:
- 609
A Guide to IMF Stress Testing
- Chapter 1. Stress Testing at the International Monetary Fund: Methods and Models
- togglePart I: The Accounting-Based Approach
- toggleSection A. The Balance Sheet–Based Approach
- Chapter 2. Introduction to the Balance Sheet–Based Approach to Stress Testing
- Chapter 3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data
- Chapter 4. Into the Great Unknown: Stress Testing with Weak Data
- Chapter 5. Next-Generation Applied Solvency Stress Testing
- Chapter 6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example
- Chapter 7. Next-Generation Systemwide Liquidity Stress Testing
- Chapter 8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign, and Interbank Risks
- Chapter 9. Modeling Correlated Systemic Bank Liquidity Risks
- Chapter 10. Review and Implementation of Credit Risk Models
- Chapter 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks
- Chapter 12. Conducting Stress Tests of Defined Benefit Pension Plans
- toggleSection B. The Network Analysis Approach
- toggleSection A. The Balance Sheet–Based Approach
- togglePart II: The Market Price-Based Approach
- toggleSection A. The Equity Indicators–Based Approach
- toggleSection B. The Extreme Value Theory Approach
- toggleSection C. The Contingent Claims Analysis Approach
- Chapter 22. Introduction to the Contingent Claims Analysis Approach for Stress Testing
- Chapter 23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom and Risks for the Financial Sector
- Chapter 24. Measuring and Analyzing Sovereign Risk with Contingent Claims
- Chapter 25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System
- Chapter 26. Systemic Contingent Claims Analysis
- Chapter 27. Measuring Systemic Risk-Adjusted Liquidity
- togglePart III: The Macro-Financial Approach
- Chapter 28. Introduction to the Macro-Financial Approach to Stress Testing
- Chapter 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
- Chapter 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing
- Chapter 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments
- Chapter 32. Banking Stability Measures
- Chapter 33. A Forward-Looking Macroprudential Stress Test for U.S. Banks
- Chapter 34. The Real Effects of Financial Sector Risk
Chapter
Chapter 25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System
- Author(s):
- Li Ong
- Published Date:
- December 2014
Show Summary Details
- Front Matter
- Chapter 1. Stress Testing at the International Monetary Fund: Methods and Models
- Chapter 2. Introduction to the Balance Sheet–Based Approach to Stress Testing
- Chapter 3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data
- Chapter 4. Into the Great Unknown: Stress Testing with Weak Data
- Chapter 5. Next-Generation Applied Solvency Stress Testing
- Chapter 6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example
- Chapter 7. Next-Generation Systemwide Liquidity Stress Testing
- Chapter 8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign, and Interbank Risks
- Chapter 9. Modeling Correlated Systemic Bank Liquidity Risks
- Chapter 10. Review and Implementation of Credit Risk Models
- Chapter 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks
- Chapter 12. Conducting Stress Tests of Defined Benefit Pension Plans
- Chapter 13. Introduction to the Network Analysis Approach to Stress Testing
- Chapter 14. Cross-Border Financial Surveillance: A Network Perspective
- Chapter 15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems
- Chapter 16. Introduction to the Equity Indicators–Based Approach to Stress Testing
- Chapter 17. The Global Financial Crisis and Its Impact on the Chilean Banking System
- Chapter 18. Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal
- Chapter 19. Introduction to the Extreme Value Theory Approach to Stress Testing
- Chapter 20. External Linkages and Contagion Risk in Irish Banks
- Chapter 21. Identifying Spillover Risk in the International Banking System: An Extreme Value Theory Approach
- Chapter 22. Introduction to the Contingent Claims Analysis Approach for Stress Testing
- Chapter 23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom and Risks for the Financial Sector
- Chapter 24. Measuring and Analyzing Sovereign Risk with Contingent Claims
- Chapter 25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System
- Chapter 26. Systemic Contingent Claims Analysis
- Chapter 27. Measuring Systemic Risk-Adjusted Liquidity
- Chapter 28. Introduction to the Macro-Financial Approach to Stress Testing
- Chapter 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
- Chapter 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing
- Chapter 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments
- Chapter 32. Banking Stability Measures
- Chapter 33. A Forward-Looking Macroprudential Stress Test for U.S. Banks
- Chapter 34. The Real Effects of Financial Sector Risk
- Back Matter
- Author(s)
- Dale F. Gray and James P. Walsh This chapter is an abridged version of IMF Working Paper 08/89 (Gray and Walsh, 2008).
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- Front Matter
- Chapter 1. Stress Testing at the International Monetary Fund: Methods and Models
- Chapter 2. Introduction to the Balance Sheet–Based Approach to Stress Testing
- Chapter 3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data
- Chapter 4. Into the Great Unknown: Stress Testing with Weak Data
- Chapter 5. Next-Generation Applied Solvency Stress Testing
- Chapter 6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example
- Chapter 7. Next-Generation Systemwide Liquidity Stress Testing
- Chapter 8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign, and Interbank Risks
- Chapter 9. Modeling Correlated Systemic Bank Liquidity Risks
- Chapter 10. Review and Implementation of Credit Risk Models
- Chapter 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks
- Chapter 12. Conducting Stress Tests of Defined Benefit Pension Plans
- Chapter 13. Introduction to the Network Analysis Approach to Stress Testing
- Chapter 14. Cross-Border Financial Surveillance: A Network Perspective
- Chapter 15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems
- Chapter 16. Introduction to the Equity Indicators–Based Approach to Stress Testing
- Chapter 17. The Global Financial Crisis and Its Impact on the Chilean Banking System
- Chapter 18. Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal
- Chapter 19. Introduction to the Extreme Value Theory Approach to Stress Testing
- Chapter 20. External Linkages and Contagion Risk in Irish Banks
- Chapter 21. Identifying Spillover Risk in the International Banking System: An Extreme Value Theory Approach
- Chapter 22. Introduction to the Contingent Claims Analysis Approach for Stress Testing
- Chapter 23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom and Risks for the Financial Sector
- Chapter 24. Measuring and Analyzing Sovereign Risk with Contingent Claims
- Chapter 25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System
- Chapter 26. Systemic Contingent Claims Analysis
- Chapter 27. Measuring Systemic Risk-Adjusted Liquidity
- Chapter 28. Introduction to the Macro-Financial Approach to Stress Testing
- Chapter 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
- Chapter 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing
- Chapter 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments
- Chapter 32. Banking Stability Measures
- Chapter 33. A Forward-Looking Macroprudential Stress Test for U.S. Banks
- Chapter 34. The Real Effects of Financial Sector Risk
- Back Matter
