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United Kingdom

United Kingdom »

Source: United Kingdom : Financial Sector Assessment Program-Insurance Sector-Technical Note

Volume/Issue: 2016/158

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 June 2016

ISBN: 9781484393789

Keywords: insurance, risk, insurers, solvency, life insurance

This paper provides an assessment of the insurance sector in the United Kingdom. The United Kingdom has one of the deepest, most developed insurance markets in the world. Insurance penetration is 50 percent higher...

Designing Effective Macroprudential Stress Tests

Designing Effective Macroprudential Stress Tests »

Source: Designing Effective Macroprudential Stress Tests : Progress So Far and the Way Forward

Volume/Issue: 2015/146

Series: IMF Working Papers

Author(s): Dimitri Demekas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

ISBN: 9781513513621

Keywords: contagion, solvency, bank, risk, capital, balance sheet, General, Financial Forecasting and Simulation, Government Policy and Regulation,

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual i...

Bank Solvency and Funding Cost

Bank Solvency and Funding Cost »

Source: Bank Solvency and Funding Cost

Volume/Issue: 2016/64

Series: IMF Working Papers

Author(s): Christoph Aymanns , Carlos Caceres , Christina Daniel , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 March 2016

ISBN: 9781513591131

Keywords: Solvency, funding cost, bank fundamentals, bank, banks, interest, capital, risk, General, All Countries,

Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling...

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Source: Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...

Possible Unintended Consequences of Basel III and Solvency II

Possible Unintended Consequences of Basel III and Solvency II »

Source: Possible Unintended Consequences of Basel III and Solvency II

Volume/Issue: 2011/187

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

ISBN: 9781462308279

Keywords: Basel III, Solvency II, Funding, capital requirements, credit risk, market risk, underwriting, Financial Institutions and Services: Government Policy and Regulation,

In today's financial system, complex financial institutions are connected through an opaque network of financial exposures. These connections contribute to financial deepening and greater savings allocation efficie...

Of Runes and Sagas

Of Runes and Sagas »

Source: Of Runes and Sagas : Perspectives on Liquidity Stress Testing Using an Iceland Example

Volume/Issue: 2010/156

Series: IMF Working Papers

Author(s): Martin Cihak , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201396

Keywords: Funding gap, liquidity risk, liquidity shocks, solvency risk, stress tests, banking, financial institutions, bonds, hedging, banking sector

The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, wher...

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems »

Source: Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Volume/Issue: 2017/102

Series: IMF Working Papers

Author(s): Andreas A. Jobst , Li Lian Ong , and Christian Schmieder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2017

ISBN: 9781475597240

Keywords: Liquidity risk, Basel III, cash flow-based approach, liquidity coverage ratio (LCR), net stable funding ratio (NSFR), solvency risk, stress testing, Tourism, Cuba, Caribbean

Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify...

Next Generation Balance Sheet Stress Testing1

Next Generation Balance Sheet Stress Testing1 »

Source: Next Generation Balance Sheet Stress Testing

Volume/Issue: 2011/83

Series: IMF Working Papers

Author(s): Christian Schmieder , Maher Hasan , and Claus Puhr

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226054

Keywords: Solvency Risk, Basel II, Basel III, banking, capital requirements, banking systems, market risk, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, w...

How Does Bank Competition Affect Solvency, Liquidity and Credit Risk? Evidence from the MENA Countries

How Does Bank Competition Affect Solvency, Liquidity and Credit Risk? Evidence from the MENA Countries »

Source: How Does Bank Competition Affect Solvency, Liquidity and Credit Risk? Evidence from the MENA Countries

Volume/Issue: 2015/210

Series: IMF Working Papers

Author(s): Raja Almarzoqi , Sami Ben Naceur , and Alessandro Scopelliti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 September 2015

ISBN: 9781513581910

Keywords: Bank Competition, Solvency, Bank Regulation, Supervision, bank, risk, banking, credit, Government Policy and Regulation, Corporation and Securities Law

The paper analyzes the relationship between bank competition and stability, with a specific focus on the Middle East and North Africa. Price competition has a positive effect on bank liquidity, as it induces self-d...

Towards Macroprudential Stress Testing

Towards Macroprudential Stress Testing »

Source: Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects

Volume/Issue: 2017/149

Series: IMF Working Papers

Author(s): Ivo Krznar , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2017

ISBN: 9781484303634

Keywords: Stress testing, macro feedback effects, solvency risk, credit crunch, Forecasting and Simulation, Financial Markets and the Macroeconomy, Financial Forecasting and Simulation

Macro-feedback effects have been identified as a key missing element for more effective macro-prudential stress testing. To fill this gap, this paper develops a framework that facilitates the analysis of both the d...