A Guide to IMF Stress Testing
Back Matter

Back Matter

Author(s):
Li Ong
Published Date:
December 2014
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    Index

    • Accounting-based approach
      • comparison of, 3t
      • introduction of, 4
      • operational considerations of, 5, 5f, 6t, 7t
      • utilization of, 4, 5f
      • See also Balance sheet-based approach; Network analysis approach
    • Acharya, Viral V., 410
    • Actuarial liabilities
      • for active members, 186–87, 186nn10–11, 202
      • DB and, 185–89, 186nn7–10, 187n12, 187t, 188t, 189nn13–16
      • individual and aggregate values of, 189, 189n16
      • PBO and, 189
      • projected unit credit cost method and, 187–89, 187n12, 189nn13–16
      • RBO and, 189, 189n14
      • for retired members, 186, 186nn7–9, 187t, 188t, 201
      • See also Defined benefit; Retirement
    • Ad hoc shock method
      • Breaking Point method and, 47–58, 47n5, 48t, 49t, 50t, 51t, 53t, 54t
      • data, 46–47, 46t, 47n3, 47t
      • overview of, 45–46
      • scenarios, 47–55, 49t, 50t, 51t, 53t, 54t
      • summary of findings with, 52–55
    • Adrian, Tobias, 54, 241, 264, 264n3, 268
    • Advanced Internal Ratings Based approach, 60
    • Advisory Committee on Sovereign Wealth Funds, 250
    • Aikman, David, 15, 130, 231
    • Akaike, Hirotugu, 399, 541
    • Akaike information criterion, 399, 541
    • Albania, 155, 1561, 167t–169t
    • Alfonso, Gara, 124
    • Allen, Franklin, 124, 210
    • Allied Irish Banks PLC, 281, 283–84, 283n3
    • Altman, Edward I., 247
    • American International Group, 104, 253, 264, 269, 269t, 523–24, 527
    • Angeloni, Ignazio, 562
    • Anglo Irish Bank Corp. PLC, 281
    • Arellano, Manuel, 158, 158t, 462
    • Arellano-Bover System GMM estimator, 462
    • Asian crisis, 359–60, 562
    • Aspachs, Oriol, 515
    • Assets
      • balance sheet and, 97–98, 97n18, 98t, 361b
      • of CESE, 155, 155n9
      • correlation between liabilities and, 199
      • correlation of, 63, 63n13
      • DB, shocks and, 195–96, 196n20, 196t
      • domestic currency, 364, 364f
      • FX deposits and, 36n28
      • GOB balance sheet and, 108–9, 108nn15–16, 109nn17–18, 109t
      • government, 364, 364f
      • haircuts for, 97–98, 97n18, 98t
      • implied value of, 416n14
      • of Landsbanki Íslands hf., 73–74, 74t
      • management of, 380
      • market prices of, 97–98, 97n18
      • monetary authority, 364, 364f
      • real estate, 129
      • reevaluation of, 106
      • regression of, 537f
      • return, 395–97, 396t, 397n7
      • shock with multi-, 199
      • sovereign, 362–64, 362n5, 362nn8–9, 363f, 383
      • total, 36
      • See also Capital asset pricing model; Return on assets; Risk-weighted assets
    • Asset-weighted DD, 563
    • Assumptions
      • of BHC, 535–38, 535nn8–9, 536f, 537f, 537t
      • decrement, 184, 201
      • depreciation, 32
      • discount rate, 185, 185nn4–6, 201
      • FME, 73
      • GDP macroeconomic, 556t
      • inflation, 185, 185n3, 186, 186n8
      • retirement benefit, 201
      • salary, 185, 185n3, 201
      • in Stress Tester 3.0, 24n7
      • in stress tests, 18, 41
    • Atunbas, Yener, 562
    • Austria, 60, 136n1, 155
    • Austrian Central Bank, 60
    • Austrian Financial Market Authority, 136n1
    • Austrian National Bank. See Oesterreichische Nationalbank
    • Available stable funding (ASF)
      • components of, 433, 433n4
      • covariance of, 435f
      • factors, 442t
      • volatility of, 441b
    • Avesani, Renzo G., 42, 456
    • Babouček, Ivan, 28b
    • Babus, Ana, 210
    • Bae, Kee-Hong, 291, 301
    • Bagehot, Walter, 561
    • Balance sheet, 104
      • asset side of, 97–98, 97n18, 98t, 361b
      • BHC and expansion of, 543–46, 547f, 548f
      • data on, 25–26, 25b
      • GOB, 108–9, 108nn15–16, 109nn17–18, 109t
      • household, 343–46, 343f, 343nn4–5, 344nn7–8, 344t, 345f–346f 345n9, 347t
      • liability side of, 361b
      • risk-adjusted, 415, 415t
      • shock, 48
      • short-term shock and, 48
      • soundness of, 52
      • traditional, 415, 415t
      • See also Off-balance sheet; Sovereign balance sheet
    • Balance sheet-based approach
      • advantages and dimensions of, 13, 13n1
      • crisis and regulatory reforms with, 14
      • data considerations in, 13–14, 14n3
      • developments to, 15
      • FSAP and, 13
      • portfolio credit risk of, 14–15
      • See also Accounting-based approach; Bankistan; Stress Tester 3.0
    • Balance sheet-based network analysis, 243
      • accounting identity and, 231, 231f, 231nn4–5, 232f, 233f
      • credit shock and, 232, 232f
      • funding shock and, 232, 232f, 233f
      • in practice, 231f, 233–39, 235t, 236t, 237t, 238t, 239t, 240t, 241t, 329n11
      • TCTF and, 230–33, 231f, 231n2, 231nn4–5, 232f 233f
    • Baltic states, 156t, 158n12
    • Banco Bilbao Vizcaya Argentaria, 250, 256, 274, 528
    • Banco Central de Chile
      • data, 390–91, 392f
      • inclusion of, 237
    • Banco Central do Brasil, 108
    • Banco de Chile, 256
    • Banco de Crédito e Inversiones, 256
    • Banco Santander, 250, 274
    • Bank for International Settlements (BIS)
      • data, 161n20, 167t–169t, 207, 210, 210n3, 213–14, 214n11, 284
      • on foreign claims, 155
      • jurisdictions, 230
      • statistics, 234, 234n11
    • Bank holding company (BHC), 60n1, 130, 130n14
      • alternative scenario of, 548–51, 552t, 553t
      • analysis of, 531–34, 532nn2–7, 533t–534t, 534f
      • assumptions and methodology of, 535–38, 535nn8–9, 536f, 537f, 537t
      • balance sheet expansion and, 543–46, 547f, 548f
      • baseline scenario of, 534–48, 535nn8–9, 536f 537f, 537t, 538n10, 538t, 539t, 540f, 540n11, 541f, 541n16, 542f, 543n18, 544f, 545f, 546f, 547f, 548f, 548n19, 549t, 550f
      • capital adequacy of, 532, 532n7, 534f
      • capital shortfall and, 546–48, 548n19, 549t, 550f
      • CAR of, 532, 532n7, 534f
      • charge-off rate(s) of, 557, 558
      • CN of, 552t, 553t
      • CONS charge-off rate of, 558
      • CRE charge-off rate of, 557
      • earnings profiles and, 537f, 538–41, 539t, 540f, 540n10, 541f,
      • JP Morgan as, 523, 528
      • loan loss projections for, 557–59, 558f, 559n23, 559t
      • macroprudential stress test for, 523nn2–7, 532
      • retained earnings and, 541–43, 54ln16, 543n18, 544f, 545f, 546f,
      • RRE charge-off rate of, 558
      • securities write-downs and, 538, 538n10, 539t
    • Banking
      • CCA and other risk measures of, 388–95, 389f, 390n3, 391f, 392f, 393f, 394f, 395f,
      • linkage, 521n18
      • risk indicators, 390–95, 391f, 393f, 394f, 395f, 570n11
      • U.K.’s corporate and financial linkages within, 349–56, 350f, 350n10, 351f, 352f, 353f, 354f, 355b, 356f
      • U.K.’s household and financial linkages within, 328–49, 338f, 339f, 340f, 341f, 342f, 342n3, 343f, 343nn4–5, 344nn7–8, 344t, 345f–346f, 347n9, 347t, 348f, 349f, 350f
    • Banking groups, 283
      • CEE, 156t, 158n12, 171
      • largest, 313t, 316t, 317t, 320t–321t
      • See also Cross-border banking groups; EU banking groups
    • Banking sector
      • EL from U.K., 422–27, 423nn29–32, 424f, 425f, 426f, 427t
      • U.S., 440–45, 441b, 441n23–24, 442f, 442n58, 442t, 443f, 444n55, 444t
      • See also Brazilian banking sector
    • Banking stability index (BSI)
      • BSM and, 521, 521n18
      • JPoD and, 522f, 523f 525–26
    • Banking stability measure (BSM)
      • BSI and, 521, 521n18
      • changes in, 515
      • characterization of, 520–21, 521t
      • DD and, 515–16, 516f
      • estimations of, 515
      • JPoD and, 520
      • method summary on, 513
      • model, 384n41, 416n12
      • results of, 521–28, 522f, 523f, 523n20, 524f, 525f, 526f 527f
    • Banking Supervisory Agency. See Superintendencia de Bancos e Instituciones Financieras
    • Banking systems
      • capital losses of, 234, 236t, 241t
      • distress in, 521
      • in Germany, 20, 234, 241, 253
      • JPoD and stability of, 515–16, 516f
      • liquidity stress tests for U.S., 128, 128n5, 132
      • riskiest, 234, 235t
      • shock to, 47, 52, 53t
      • spillover risk of global, 305–8, 306t–307t, 308n22,308t
      • TCTF, 234, 237t
      • in U.K., 234, 240
      • in U.S., 234, 240, 254f, 263
      • vulnerable, 234, 235t
      • See also Chilean banking system
    • Banking System’s Multivariate Density (BSMD), 514
      • characterization of, 515–17
      • CIMDO and, 517–20, 517n10, 518nn11–12, 519b, 519n14
      • empirical results of, 521–28, 522f, 523f, 524f, 525f, 526t, 527f
      • measures, 520–21, 521n18, 521t
    • Bankistan (fictional country)
      • exercise, 18, 19b
      • input data analysis of, 24–28, 24n9, 25b, 26n10, 27f
      • overview and process of, 18–24, 19b, 19f, 20t, 21n2, 23nn5–6, 24nn7–8
      • See also National Bank of Bankistan
    • Bank of America, 523
    • Bank of England, 23, 60, 93
      • analysis, 350n10
      • Credit Conditions Survey, 342
      • index, 130n13
      • liquidity stress tests of, 125t
    • Bank of Ireland, 281, 283–84, 283n3
    • Bank of Nova Scotia, 256
    • Bankruptcy, 28b
      • Brazil and, 110n22
      • codes, 177
      • corporate, 247, 265
      • incidents of, 362n4
    • Banks
      • average aggregate or signage aggregate, 111n30
      • capital of, 231, 231nn4–5
      • CAR of foreign-owned and domestic, 165t
      • contagion risk among largest, 320t–321t
      • contagion risk of Irish, 281–84, 282b, 282nn1–2
      • DD of, 286b, 287t, 316t
      • distress and fragility of, 28b
      • distress between, 521, 521t
      • EU, 286b, 324t, 328t–329t
      • fire sales and rollover of, 97–98, 97n18, 98t
      • foreign, 25
      • French, 274, 286b
      • German, 286b, 455n5
      • GOB default of, 112–15, 112n33, 113t, 114t, 115n34, 115t, 116t
      • Italian, 286b
      • Latin American, 4, 521, 528
      • macroeconomic factors and, 334
      • model of, 566
      • multiple aggregate, 117–20, 117n36, 118t, 119t, 120t
      • of Netherlands, 125t, 286b, 500n28
      • no GOB default of, 112, 112nn32–33, 113t
      • ownership stake of, 161
      • panics associated with, 124
      • parent, 154–55, 154t, 155t, 156t, 160, 160n14, 161, 167t–169t
      • PoD of, 515, 522
      • portfolio of, 8, 104–6, 105nn4–7
      • profits and, 22–23
      • rating downgrades of, 97
      • ratings and risk of Brazil’s, 103, 115–21, 117nn35–36, 118t, 119t, 120t
      • ratings and risk of GOB, 103, 115–21, 117nn35–36, 118t, 119t, 120t
      • regulators of, 152n4
      • risk simulation model of, 106–8, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t
      • safety of, 36
      • shock to, 47, 52, 53t, 55
      • short-term counterbalancing approach or run on, 95, 97
      • simulation results of GOB, 112–20, 112nn31–33, 113t, 114t, 115n34, 115t, 116t, 117t, 118t, 119t, 120t
      • single aggregate, 117, 117n35
      • soundness of, 55
      • sovereign risk and, 334
      • Spanish, 230, 274, 284, 286
      • systemic risk within, 111–12, 111n30, 116–21, 117nn35–36, 118t, 119t, 120t
      • U.K., 286b
      • U.S., 230, 286b
      • write-downs of, 263–64
    • Bankscope, 93n13, 109
    • Bank-to-bank
      • changes in NPLs, 28b, 29, 29n12
      • data, 28b
      • exposures, 26
      • interest rate spread, 108n12
    • Barclays, 181t, 423n30, 527
    • Barnhill, Theodore, 15, 94, 104, 108, 110, 112n31, 128
    • Basel Committee on Banking Supervision (BCBS), 14n3
      • on liquidity risk, 71n2, 86–87
      • principles and proposals of, 94, 272
      • standardized approach of, 97, 97n18
    • Basel II, 14
      • framework, 64n19
      • IRB approach, 160n18, 177
    • Basel III, 14, 432
      • framework of, 93
      • impact of, 64, 64n20
      • proposals, 129n11
      • ratios, 97–98, 97t
      • on regulatory capital, 264
      • standards, 423n32
    • Bassett, Gilbert, Jr., 268
    • Bayesian information, 541
    • Bear Stearns
      • failure of, 104, 130n13, 240
      • rescue of, 441
    • Bech, Morten, 243
    • Belarus, 155, 156t, 158n12, 159t, 167t–169t
    • Belgium, 155, 234
    • Belmont, David, 404
    • Bernoulli
      • distributions, 137, 145, 145t
      • events and probabilities, 144, 145t
    • Binomial logit model, 303–4, 303f, 303nn8–9, 304nn10–11
    • Black, Fischer, 4, 247, 271, 286b, 302, 333, 388, 563b
    • Black-Scholes-Merton model (BSoM), 366n19
      • CCA and, 383–85, 383n38, 384nn40–42, 385n43, 389–90, 404, 413, 413n8, 414, 433
      • DD and, 286, 286b
      • traditional, 435
    • Blaschke, Winfrid, 18
    • Bloomberg, 534, 564
    • BNP, 528
    • Board of Governors of the Federal Reserve System, 93, 93n7, 128, 160, 177, 411n5, 558–59, 559f
    • Bohn, Jeffrey R., 271
    • Bond, Stephen, 158, 158t
    • Borio, Claudio, 239, 240, 264, 264n3, 267–68
    • Bosnia, 155, 156t, 159, 167t–169t
    • Boss, Michael, 32
    • Bottom-up (BU)
      • approach to macroeconomic model, 19f, 21–22
      • liquidity stress tests, 94, 95t
    • Brazil
      • aggregation bias portfolio of, 464–66, 465n15, 468f; 469f, 469t, 470t
      • bank ratings and risk of, 103, 115–21, 117nn35–36, 118t, 119t, 120t
      • bankruptcy and, 110n22
      • credit operations in, 457n10
      • credit risk of, 453–54, 454n1
      • elections in, 393, 394–95
      • equity market index of, 105, 105n5
      • GDP of, 454, 463
      • See also Government of Brazil
    • Brazilian banking sector, 230, 471
      • characterization of, 453–54, 454nn1–3
      • credit VaR and, 466–70, 470t, 471t
      • LGD of, 468
      • loan portfolio of, 460t
      • macro model of, 456–57, 456f, 456nn7–8, 457nn9–11, 457t, 458t, 459f
      • methodology, 455–63, 456f, 456nn7–8, 457nn9–11, 457t, 458n12, 458t, 459f, 460t, 461nn13–14, 462f, 463t, 464t–465t
      • method summary on, 453
      • microeconomic model of, 457–63, 457nn10–11, 458n12, 460t, 461nn13–14, 462f, 463t, 464t–465t
      • NPLs and, 454, 454n1, 458–63, 461nn13–14, 461t, 462f, 463–64, 467f
      • portfolio aggregation bias of, 464–66, 465n15, 468f, 469f 469t, 470t
      • review of, 454–55, 455nn5–6
      • stress tests and, 463–70, 465n15, 467f, 468f, 469f 469t, 470t, 471t
    • Brazilian real, 398f, 399, 456
    • Breaking Point method
      • ad hoc shock method and, 47–58, 47n5, 48t, 49t, 50t, 51t, 53t, 54t
      • compromise, 55, 56t, 57t
      • data, 46–47, 46t, 47n3, 47t
      • method, 45
      • overview of, 45–46
      • scenarios, 47–55, 49t, 50t, 51t, 53t, 54t, 56t, 57t
      • summary of findings with, 52–55
    • Breeden, Douglas T., 416, 434
    • Breusch, Trevor S., 541
    • Breusch-Godfrey serial correlation Lagrange multiplier test, 541
    • Breusch-Pagan Lagrange multiplier test, 541
    • Brownlees, Christian T., 410
    • Brunnermeier, Markus K., 239–41, 254, 264, 264n3, 268
    • Buiter, Willem, 74–76
    • Bulgaria, 155, 156t, 159, 167t–169t
    • Call options, 247
    • Call Report Data, 128, 128n5
    • Canada, 250
    • Capital
      • accounting information on, 45
      • adequacy of BHC, 532, 532n7, 534f
      • of banks, 231, 231nn4–5
      • controls in Russia, 365
      • CoVaR measures, 264n2
      • excess, 160t, 161
      • impairment, 217t
      • losses of banking systems, 234, 236t, 241t
      • management, 152
      • as measure of impact, 22
      • ratios, 110–11, 111n24
      • requirements, 163
      • total, 24n8
      • See also Economic capital; Regulatory capital
    • Capital adequacy ratio (CAR), 20, 22, 23–24, 24nn7–8
      • assessment of, 404, 404n10
      • of BHC, 532, 532n7, 534f
      • calculations of, 47
      • CEE and CESE regulatory minimum of, 160, 160n17, 179t
      • by country and bank type, 165t
      • of foreign-owned and domestic banks, 165t
      • of Landsbanki Íslands hf., 73
      • of NPLs, 480–81, 481t postshock, 153n8
      • requirements, 46t, 47
      • sample subsidiaries, 165t
      • stress tests on, 37, 37f
      • terms of, 34
    • Capital asset pricing model, 103, 271
    • Capital charge
      • calculations, 268–72, 268n7, 269f, 269nn8–9, 270f, 271nn12–15
      • interconnectedness and, 263–64, 267
      • risk, 267–68, 268n6
      • TCTF and, 263, 264n3, 265–68, 266f, 268n6
    • Capital injection, 20, 22
    • Capitalization
      • CESE levels of, 152
      • of firms, 416n16
      • measurement of, 22, 61
      • ratios, 91
      • underestimation of, 52
    • Capital need (CN)
      • of BHC, 552t, 553t
      • of CESE, 154, 154n8, 155f, 181t
      • ring-fencing scenarios and, 160–63, 160n15, 160nn17–19, 161n20, 162f, 163f
    • Capital shortfall
      • BHC and, 546–48, 548n19, 549t, 550f
      • EL and, 422, 422n28
      • macroprudential stress test and, 546–48, 548n19, 549t, 550f
    • Carr, Peter, 422
    • Cash
      • flow analysis, 199
      • flow-based liquidity tests, 92
      • flow-type methods, 92
    • CBOE VIX, 566n2
    • Central, Eastern, and Southern Europe (CESE)
      • assets of, 155, 155n9
      • branches and, 153, 153n7
      • capitalization levels of, 152
      • CAR regulatory minimum for, 160, 160n17, 179t
      • credit shock, 151, 156–60, 158n12, 158t, 159t, 160n14
      • description of, 154–56, 154f 154n8, 155f, 156t, 157f
      • implications of, 151–54, 152n4, 152nn1–2, 153 nn5–7
      • LGD and, 160, 177, 177t, 181t
      • NPLs and, 156–60, 158n12, 158t, 159t, 160n14
      • regional shock of, 156–60
      • ROAs and, 156–60, 158n12, 158t, 159t, 160n14
    • Central and Eastern Europe (CEE)
      • banking groups, 156t, 158n12, 171
      • regulatory minimum CAR for, 160, 160n17, 179t
    • Central bank
      • funding by, 93, 238
      • support, 92n5
    • Central Bank of Brazil, 454n2
    • Central Bank of Chile. See Banco Central de Chile
    • Central Limit Theorem, 488n12
    • Cerruti, Eugenio, 153n7
    • Chan-Lau, Jorge, 207, 231, 239–41, 248, 254, 268, 301
    • Chapman, James, 243
    • Chicago Board Options Exchange Market Volatility Index (VIX), 255
      • CCA and, 395, 396t, 397–400, 397t, 402, 405n12, 456n8
      • spreads, 456n8
    • Chile
      • economy of, 249
      • GDP of, 250, 250t
      • during global financial crisis, 249–55, 251f, 252n2, 252n4, 252t, 253t, 254f, 255n11, 402–2, 403f
      • Spain and, 250
    • Chilean banking system
      • CCA of, 387–88
      • EDF, 252–54, 252nn6–7, 253n8, 253t, 254t
      • exposures of, 230, 233, 249–55, 251f, 252n2, 252n4, 252t, 253t, 254f 255n11
      • foreign bank exposure of, 250, 250t, 251t
      • funding risks of, 234
      • IBB and, 250, 250t
      • results of, 255–60, 256n2, 257t, 258t, 259t, 260n
      • TCTF analysis of, 237–39, 238t, 239t, 240f, 241t
      • U.K. and, 250
      • See also Contingent claims analysis; CoRisk
    • Čihák, Martin, 18, 34n26, 45, 60n1, 93–94, 99, 481, 562
    • Citibank, 256, 523
    • Citigroup, 104, 272n16, 273–74, 528
    • Comisión Nacional Bancaria y de Valores (Mexico), 487n6
    • Commercial and industrial loans, 555
      • charge-off rate of, 558
      • losses, 535, 537t
    • Commercial real estate (CRE), 338, 352–54
      • charge-off rate, 557
      • debt, 555
      • losses, 535–36, 537t, 551, 552t
      • prices, 556
    • Committee of European Banking Supervisors, 93
    • Committee on Payment and Settlement Systems-International Organization of Securities Commissions, 8
    • Committee on the Global Financial System, 410n1
    • Commonwealth of Independent States, 155, 156t, 158n12, 159t
    • Conditional probability of default (CoPoD)
      • characterization of, 485–87, 500t, 506–7
      • efficiency, 492b–493b
      • explanatory variables of, 490–93, 493n23, 494t
      • formulation of, 491b–492b
      • intuition, 489
      • methodology of, 489–94, 490nn16–18, 491b–492b, 492b–493b, 494t
      • method summary on, 485
      • PMD and, 502–4, 503f, 504t
      • rationale of, 491b–492b
      • stress test procedure for, 496–97
      • See also Denmark
    • Conditional tail expectation, 413
    • Conditional Value at Risk (CoVaR)
      • based capital measures, 264n2
      • model, 412t
    • Congressional Oversight Panel, 536
    • Consistent Information Multivariate Density Optimizing (CIMDO)
      • BSMD and, 517–20, 517n10, 518nn11–12, 519b, 519n14
      • characterization of, 485–87, 486nn3–5, 500t, 506–7
      • copula, 514n4, 517n10, 518–20, 518nn11–12, 519b, 519n14
      • density specification, 489, 494, 495b, intuition, 494, 495b–496b
      • methodology of, 493–94, 495b–496b
      • method summary on, 485
      • PMD and, 502–4, 503f, 504t
      • stress test procedure for, 496–97
      • See also Denmark
    • Consolidated Financial Statements (Landsbanki Íslands hf.), 73
    • Constant dollar method, 189n15
    • Consumer price index, 395
    • Contagion risk, 33, 33n24
      • determinants and Ireland, 287t, 291–98, 292n9, 292t, 293n10, 293t, 294f, 295t, 296f, 296t
      • among EU banking groups, 326t–327t
      • among EU banks, 328t–329t
      • in Ireland, 281–84, 282b, 282nn1–2
      • of Irish banks, 281–84, 282b, 282nn1–2
      • among largest banks, 320t–321t
      • “macro” interbank, 35, 35f, 35n27
      • method summary on, 281
      • of Netherlands, 283
      • “pure” interbank, 34–35, 34nn25–26
      • sources of, 282b
      • of U.K., 283–84
      • of U.S., 283–84
    • Contingent claims analysis (CCA), 4, 381
      • application of, 360, 361n4
      • BSoM and, 383–85, 383n38, 384nn40–42, 385n43, 389–90, 404, 413, 413n8, 414, 433
      • of Chilean banking system, 387–88
      • of corporate and financial institutions, 333–34, 350f, 353–56, 355b, 356f, 357f
      • of DtD, 389f, 392–93, 393f
      • extensions of, 334–35
      • implicit options of, 384–85, 385t
      • introduction to, 333–35, 333n1
      • method summary on, 387
      • research on, 404–5, 404n10, 405n12
      • risk measures of, 388–95, 389f, 390n3, 391f, 392f, 393f, 394f, 395f
      • RNDP and, 393, 393f, 394f, 395
      • scenario testing of, 402–4, 402f, 403f
      • of sovereign balance sheet, 364–66, 364f, 364nn10–11, 365n12, 365nn16–18
      • sovereign risk with, 359–61, 360n1
      • tools, 387–88
      • U.K. and, 333–34, 337–38, 350f, 353–56, 355b, 356f, 357f
      • VAR and, 388, 399–400
      • VIX and, 395, 396t, 397–400, 397t, 402, 405n12, 456n8
      • See also Sovereign risk; Systemic CCA
    • Copula Choice Problem, 518
    • CoRisk
      • analysis, 249, 264
      • EDF, 255
      • estimation, 254–53, 255n11
      • between financial institutions, 257t, 258t, 259t
      • measures, 252, 252n2
      • method summary on, 249
      • model, 279, 412t
      • network analysis, 270–72, 270f, 271nn12–15
      • quantile regression and, 254–53, 255n11, 268n7
      • spreads, 269, 269f
      • See also Chile; Chilean banking system
    • Corporate bankruptcy, 247, 265
    • Corporate debt, 384n40
    • Corporate default, 361b
    • Corporate leverage, 32, 32n23
    • Corporate loan portfolio, 128, 128n9
    • Cossin, Didier, 407
    • Cost method
      • benefit allocation and, 188–89, 189n13
      • cost allocation and, 188
      • projected unit credit, 187–89, 187n12, 189nn13–16
    • Coval, Joshua, 130
    • Cox, John C., 407
    • Credit
      • availability, 342n3
      • categories, 455
      • cost method projected unit and, 187–89, 187n12, 189nn13–16
      • domestic, 567n4
      • GDP and, 564–66, 567, 568t–569t
      • growth, 550f, 562, 572, 577
      • operations in Brazil, 457n10
      • private sector, 567n4
      • rating, 110, 110n21, 256
      • shock, 28b, 29, 29n12
      • VaR, 135, 146–47, 146f, 147f,
      • VaR models, 42, 377n32
    • Credit Agricole, 274
    • Credit default swap (CDS), 252, 279, 564
      • divergent, 421n24
      • lower, 367–70, 368f–369f, 369n24, 370t, 371f
      • market prices for, 268
      • MIDP and, 372, 372n27
      • RNDP and, 422, 422n27
      • spreads, 252n7
      • See also Fair value CDS; PoDs derived from CDS spreads
    • Credit Metrics, 488n9
    • Credit over GDP, 500
    • Credit-plus-funding shock
      • impact of, 212, 212f, 212n6, 227t–228t
      • transmission of, 211–12, 211n5, 212f, 212n6, 216–18, 220t, 221t
    • Credit risk, 450
      • of Brazil, 453–54, 454n1
      • econometric model, 475–78, 476nn2–4, 477n5, 477n7, 477nn9–10, 478nn11–12
      • GOB model of, 106–12, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t, 110nn20–23, 110t, 111nn24–30
      • macroeconomic model of, 28b
      • method summary on, 103–4
      • model of loans, 128–29, 128n9
      • private sector, 103–4
      • RWA for, 63
      • solvency stress tests and, 62
    • Credit risk indicators
      • DtD and, 360, 375, 375n30
      • inclusion of, 404–5
    • Credit-risk-macro nexus, 42
    • CreditRisk+ model, 15, 28–30, 28b, 28n11, 29n12
      • alternative recursive scheme of, 142–43
      • basic, 136–37, 136n4
      • default events and, 136
      • development of, 135–36
      • exposure bands and, 137
      • extensions of, 135, 140–41
      • factors of, 139–40
      • implementation and review of, 135–36, 142–43, 142n8
      • with known probability, 138
      • loan, 128–29, 128n9
      • losses and, 136
      • method summary on, 135
      • with nonrandom default probability, 137
      • normalized exposures and, 136, 136n4
      • Poisson approximation and, 137–38
      • with random default probability, 138–39, 139n6, 146–47, 146f, 147f
      • summary, 141–42
      • toolbox, 143–47, 144t, 145f, 145t, 146f, 147f
    • Credit risk transfer, 283
    • Credit shock
      • balance sheet-based network analysis and, 232,232f
      • CESE, 151, 156–60, 158n12, 158t, 159t, 160n14
      • concentration risk and, 30
      • impact of, 41, 227t–228t
      • increase in NPLs and, 28b, 29, 29n12
      • sectoral shocks and, 29–30
      • simulations of, 211–12, 211f, 211n4, 212f, 212n6
      • transmission of, 210f, 215t, 216f, 215–19, 217t, 217n7, 218f, 219f
      • underprovisioning adjustment and, 28–29, 28n11
    • Credit spreads
      • CDS and risk-neutral, 370, 370n25, 372t
      • EMBI+ and risk-neutral, 370–74, 372nn26–28, 372t, 373t, 374f
    • Credit Suisse, 525
    • Credit Suisse Financial Products (CSFP), 15, 136
      • implementation of, 145
      • loss distribution for, 145, 145t
    • Croatia, 152n4, 155, 167t–169t
    • Croatian National Bank, 152n4
    • Cross-border banking groups, 527–28
      • description of, 154–56, 154f, 154n8, 155f 156t, 157f
      • EU loans and, 153, 153nn6–7
      • internalization of, 300n1
      • loans of, 155n10
      • and subsidiaries, 167t–169t
    • Cross-border financial surveillance, 527–28
      • interbank exposure model and, 211–15, 211f, 211nn4–5, 212f, 212n6, 214f, 214n11
      • method summary on, 205
      • perimeter of prudential regulation and, 223
      • requirements of, 209–11, 210f, 210nn1–3
      • simulation results of, 215–23, 215t, 215n12, 216f, 217t, 218f, 219f, 220t, 221t, 222f, 223f, 224f
    • Crouhy, Michel, 406
    • Czech Republic, 155, 156t, 167t–169t
    • Danish kroner, 500
    • Danmarks Nationalbank, 500
    • Data
      • ad hoc shock method, 46–47, 46t, 47n3, 47t
      • balance sheet, 25–26, 25b
      • bank-to-bank, 28b
      • BCCH, 390–91, 392f
      • BIS, 161n20, 167t–169t, 207, 210, 210n3, 213–14, 214n11, 284
      • Breaking Point method, 46–47, 46t, 47n3, 47t
      • considerations in balance sheet-based approach, 13–14, 14n3
      • DD, 286b
      • on Denmark, 500, 500nn26–29, 500t
      • EDF, 252–54, 252nn6–7, 253n8, 253t, 254t
      • EVT, 303n13, 304–5, 304n14, 304n17
      • financial sector risk, 562–64, 563b, 563f, 576t
      • on France, 155, 576t
      • GFSR, 157, 557
      • IBB, 213–14, 213n10, 214f, 227, 227t–228t
      • income statement, 25–26, 25b
      • input analysis of Bankistan, 24–28, 24n9, 25b, 26n10, 27f
      • intensive, 40–41
      • on Italy, 155, 576t liquidity stress tests, 126–28, 127f
      • macroeconomic, 513–14
      • market, 570n11
      • MKMV, 247–48, 252, 252t, 264, 268
      • NPLs, 475
      • risk transfer, 213–14, 214f
      • stress tests and actual, 18
      • summary, 576t
      • time to repricing, 26
      • URB, 213–14, 213n10, 214f, 227, 227t–228t
    • Datastream, 564
    • Datastream banking sector index, 563
    • Debt
      • corporate, 384n40
      • CRE, 555
      • foreign currency, 362n8, 365
      • of GOB, 105, 105nn6–7
      • management, 378, 379f
      • maturity of, 93
      • sustainability of, 380–81, 380n37
      • U.K.’s unsecured, 349, 350f
      • U.S., 555n20
    • Debt at risk
      • method summary on, 337
      • U.K. and,337–38,344
      • U.K.’s unsecured, 349, 350f
      • See also Contingent claims analysis
    • Debt service-to-income, 344, 344nn7–8, 345f–346f
    • Default
      • banks with GOB, 112–15, 112n33, 113t, 114t, 115n34, 115t, 116t
      • banks with no GOB, 112, 112nn32–33, 113t
      • corporate, 361b
      • events and CreditRisk+ model, 136
      • of GOB, 105, 105nn6–7
      • incidents of, 362n4
      • interbank risk and GOB model of, 103, 106–12, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t, 110nn20–23, 110t, 111nn24–30
      • JPoD and, 414
      • private sector, 103–4
      • region of, 489
      • sovereign, 103–6, 361b
      • See also Conditional probability of default; Loss given default; Probability of default; Risk-neutral default probability
    • Default-free value, 365
    • Default risk
      • EL from, 416–18, 416nn12–16, 417nn17–20, 418n21
      • to macroeconomic variables, 395–404, 395f, 395nn5–6, 396t, 397n7, 397t, 398f, 401f, 402f, 403f
    • Deferred tax assets, 542–43, 544f
    • Defined benefit (DB)
      • actuarial cost factors and functions of, 184–85, 184n2, 185nn3–6
      • actuarial liabilities and, 185–89, 186nn7–10, 187n12, 187t, 188t, 189nn13–16
      • asset shock and, 195–96, 196n20, 196t
      • decrement assumptions and, 184, 201
      • discount rate assumptions and, 185, 185nn4–6, 201
      • funding ratio of, 183
      • liability shock and, 196, 196n21
      • mechanics of, 183–84
      • method summary on, 183
      • model pension plan and, 190, 191t–192t, 193f–194f, 195t
      • real pension plan and, 190, 191t–192t, 193f–194f, 195t
      • refinements to, 199
      • retirement benefit assumptions and, 201
      • salary assumptions and, 185, 185n3, 201
      • simplifications of, 192–95, 195nn18–19
      • stress tests for, 190–99, 191t–192t, 193f–194f, 195nn18–19, 195t, 196nn20–21, 196t, 197n30, 197t, 198f, 198t
      • survival probability of, 184–85, 184n2
      • See also Actuarial liabilities; Retirement
    • De Hass, Ralph, 152
    • Dell’Ariccia, Giovanni, 153n7
    • De Nederlandsche Bank, 125t, 500n28
    • De Nicoló, Gianni, 282, 286b
    • Denmark
      • analysis of, 499t, 504–7, 504t, 505t, 506t
      • data on, 500, 500nn26–29, 500t
      • economy of, 497, 498f, 499f
      • EL of, 503, 504t, 505t
      • empirical implementation in, 494t, 497–504, 498f, 499f, 499t, 500nn26–29, 500t, 501f, 501t, 502t, 503f, 503t, 504t
      • implementation data of, 500, 500nn26–29, 500t
      • macroeconomic scenarios in, 494t, 497–500, 498f, 499f, 499t
      • PD in, 494t, 500–502, 501f, 501t, 502f, 503t
      • PMD of, 502–3, 503f, 504t
      • result analysis in, 499t, 504–6, 504t, 505t, 506t
    • Deposits, 72n6
      • FX, 36n28
      • insurance, 230, 264
      • run on, 87
    • Depreciation
      • assumptions, 32
      • direct, 32
      • FX and rate of, 32
    • Deutsche Bank, 14n3, 181t, 528
    • Deutscher Aktien IndeX (DAX), 564, 566n2
    • Development Bank of Singapore, 528
    • de Vries, Caspar G., 301
    • Diamond, Douglas, 124
    • Diebold-Yilmaz spillover, 279
    • Distance to default (DD), 23, 23n6, 248, 577
      • of banks, 286b, 287t, 316t
      • BSM and, 515–16, 516f
      • BSoM model and, 286, 286b
      • data issues of, 286b
      • decreases in, 567n6
      • financial sector risk and, 563, 563b
      • indicators, 286–91, 286b, 287f, 288f, 288t, 289f, 290f, 290t, 301n5
      • as measurement, 282, 282b
      • model, 302–3, 302n6
      • usage of, 252, 252n4
    • Distance to distress (DtD)
      • CCA of, 389f, 392–93, 393f
      • CRIs and, 360, 375, 375n30
      • inversion of, 367n22
      • sovereign credit risk and, 366–70, 368f–369f, 369n24, 370t
    • Distress
      • bank fragility and, 28b
      • in banking system, 521
      • between banks, 521, 521t
      • dependence matrix, 523–24, 526–27, 526t
      • and fragility of banks, 28b
      • of NBFIs, 514
      • See also Joint probability of distress; Probability of distress
    • Distress barrier, 363f, 365t
      • constitution of, 362
      • fixed, 364n10
    • Distress Dependence Matrix, 521, 521t
    • Djankov, Simeon, 63, 177
    • Doing Business, 63
    • Domestic currency, 364n10
      • foreign currency and, 364, 364f
      • of Iceland, 73
    • Domestic exchange, 36n28
    • Donne, John, 260
    • Dow Jones Stoxx 600 stock index, 564
    • Drehmann, Mathias, 28b
    • Duffie, Darrell, 130
    • Durbin, James, 541
    • Durbin-Watson d-statistic, 541
    • Dutch Central Bank, 93
    • Dybvig, Philip, 124
    • Dynamic conditional correlation, 410
    • Dynamic factor model, 436, 436n12
    • Econometric credit risk model, 475–78, 476nn2–4, 477n5, 477n7, 477nn9–10
    • Economic capital (EC), 486, 487–89, 487n8, 488f, 488nn9–13
    • Ehrmann, Michael, 562
    • Elsinger, Helmut, 34n26, 231, 243
    • Embree, Lana, 243
    • Emerging Market Bond Index (EMBI+), 456n8
      • JP Morgan, 371f
      • risk-neutral credit spreads and, 370–74, 372nn26–28, 372t, 373t, 374f
      • spreads, 367–70, 369n24, 370t
    • Emerging Market Bond Index Global, 369n24
    • Engle, Robert F., 410
    • Entropy
      • maximum, 489
      • modeling foundations, 509–11, 509n33, 511n34
      • See also Minimum cross-entropy distributor
    • Equity
      • indicators, 4
      • market index of Brazil, 105, 105n5
      • prices, 247, 283
      • pricing model, 248
      • S&P sector returns of, 128
      • Equity indicators-based approach, 247
        • See also Chile; Too-connected-to-fail
    • Erndos-Renyi graphs, 243
    • Erste, 528
    • Espinosa-Vega, Marco, 205
    • Estimated default probability, 384
    • Estonia, 155, 156t, 167t–169t, 171
    • EU banking groups, 97, 97n16, 283n3
      • contagion risk among, 326t–327t
      • cross-border loans of, 153, 153nn6–7
      • and subsidiaries, 167t–169t
      • See also Central, Eastern, and Southern Europe; Central and Eastern Europe
    • Europe, 528
      • central, 156t
      • interest rates in, 500
      • southern, 156t
      • stress tests in, 8, 14
      • See also Central, Eastern, and Southern Europe; Central and Eastern Europe; Southeastern Europe
    • European Banking Authority, 14, 14n3
    • European Central Bank (ECB)
      • solvency stress tests and, 60, 60n3, 97
      • statistics, 234
    • European Economic Area, 284n4
    • European Union (EU)
      • banks, 286b, 324t
      • contagion risk among banks in, 328t–329t cross-border banking groups and loans of, 153, 153nn6–7
      • financial institutions, 257t, 258t, 259t
      • GDP of, 457n9
      • government bond yields, 325t
      • home bias within, 309
      • initiatives at, 152n2
      • spillover risk within, 308–9, 308t, 309n26
      • stock market indices, 325t
    • Ex ante
      • loss distribution, 266
      • portfolio, 268n6
    • Expected default frequency (EDF), 561, 570, 577
      • of Chilean banking system, 252–54, 252nn6–7, 253n8, 253t, 254t
      • concept of, 413, 413n7
      • conditional, 255
      • CoRisk, 255
      • data, 252–54, 252nn6–7, 253n8, 253t, 254t
      • five-year, 252–54, 252n7
      • measures, 252, 252n4, 252t
      • MKMV, 562, 562n1, 563b, 563f, 564f
    • Expected loss (EL), 365
      • capital shortfall and, 422, 422n28
      • from default risk, 416–18, 416nn12–16, 417nn17–20, 418n21
      • of Denmark, 503, 504t, 505t
      • individual, 416–18, 417nn17–19
      • joint, 417–18, 417n20, 418n21
      • from U.K. banking sector, 422–27, 423nn29–32, 424f, 425f, 426f, 427t
    • Expected loss ratio (EL ratio), 418–20, 419f
    • Expected shortfall (ES), 266, 439n20
    • Ex post
      • loss distribution, 266
      • portfolio, 268n6
    • Extreme value theory (EVT)
      • approach, 4, 310
      • binomial logit model and, 303–4, 303f, 303nn8–9, 304nn10–11
      • data, 303n13, 304–5, 304n14, 304n17
      • empirical method of, 301–5, 301nn4–5, 302n6, 303f, 303nn8–9, 304n14, 304n17, 304nn10–13
      • introduction to, 279–80, 299–301, 300f, 300nn1–2, 301n3
      • method summary on, 249
      • models, 280
    • Fair value CDS, 421n24
    • Fair value option adjusted spread, 421n24
    • Fannie Mae, 104
    • Fast Fourier transform, 137, 143
    • Fazylov, Otabek, 562
    • Federal Deposit Insurance Corporation, 128, 129n11
    • Federal Reserve of New York, 264
    • Financial Accounting Standard, 535
    • Financial and Economic Environment Model, 128
    • Financial crisis, global (2007–2008), 1
      • characterization of, 124, 263
      • Chile during, 249–55, 251f, 252n2, 252n4, 252t, 253t, 254f, 255n11, 402–2, 403f
      • financial institutions during, 104, 104n1, 123
      • method summary on, 247
      • principle, 93
      • solvency and, 72, 72n4
      • U.K. during, 338–40, 338f, 339f, 340f, 341f
    • Financial institutions, 1, 266
      • Canadian, 257t, 258t
      • CCA of, 333–34, 350f, 353–56, 355b, 356f, 357f
      • CoRisk between, 257t, 258t, 259t
      • EU, 257t, 258t
      • failure of, 123
      • during financial crisis (2007–2008), 104, 104n1, 123
      • global, 253t, 272n16, 272t, 273t
      • in Latin America, 249, 253, 253t, 257t, 258t, 259t
      • loan portfolio of, 104–6, 105nn4–7
      • portfolio of, 104
      • total assets of, 533t–534t
      • U.S., 257t, 258t, 272n16, 272t
      • See also Nonbank financial institutions
    • Financial market infrastructures, 5, 8
    • Financial Sector Assessment Program (FSAP), U.S., 1, 449, 531, 570
      • adverse scenario of, 555, 556t
      • alternative scenario of, 555–56
      • application of, 92, 92n2
      • balance sheet-based approach and, 13
      • baseline scenario of, 555
      • coverage of, 24–25, 24n9
      • insurance sector and, 8
      • missions, 18
      • practice of, 25, 555n20
      • single-factor shock and, 556
      • soundness and structure of, 26–28, 26n10
    • Financial sector risk
      • bank regressions as, 570–72, 571t
      • cointegrating relationships and, 577, 578t
      • data, 562–64, 563b, 563f, 576t
      • DD and, 563, 563b
      • impact of, 561–62, 572–73
      • macroeconomic regression as, 566–70, 567nn4–7, 568t–569t
      • methodology, 564–66, 565f
      • method summary on, 561
    • Financial soundness indicator (FSI)
      • core, 32
      • solvency stress tests and, 66
    • Financial Soundness Indicators Compilation Guide, 30, 30n14, 31
    • Financial Stability Board, 208, 230
    • Financial Stability Report, 25
    • Financial Supervisory Authority. See Fjármálaeftirlitsins
    • Finland, 72n6
    • FinSoft, Inc., 104, 104n3, 124n1
    • FitchRatings, 105, 107t, 112, 116, 120, 289
    • Fjármálaeftirlitsins (FME), 72
      • Landsbanki Íslands hf. stress tests with, 76–79, 77t–78t
      • scenario assumptions of, 73
      • stress test combination of, 79, 79n16, 80t
    • Foglia, Antonella, 60
    • Forbes, Kristin, 301
    • Foreign banks, 25
      • CAR of domestic and, 165t
      • Chile’s exposure to, 250, 250t, 251t
      • claims of, 250, 250t
      • risk of, 527–28
    • Foreign currency
      • debt, 362n8, 365
      • domestic currency and, 364, 364f
      • of Iceland, 73
      • liabilities, 365n18, 366–67
      • risky, 365
    • Foreign exchange (FX)
      • assets and deposits, 36n28
      • depreciation in rate of, 32
      • direct risk in, 31–32, 31nn18–19, 32nn21–22
      • indirect risk in, 32–33, 32nn22–23
      • rate, 106, 502
      • risk, 196, 196t
    • Foundation Internal Ratings Based approach, 60
    • France
      • banks of, 274, 286b
      • data on, 155, 576t
    • Freddie Mac, 104
    • Friedman, Paul, 240, 240n13
    • Funding
      • by central bank, 93
      • costs, 98–99
      • gap of Landsbanki Íslands hf., 83, 84t–85t
      • liquidity, 71, 92
      • market, 98–99, 99n19
      • ratio of DB, 183
      • risks of Chilean banking system, 234
      • runoff rates with sources of, 97, 97n16
      • stable, 433
      • standards, 185n4
      • wholesale, 249, 282b
      • See also Net stable funding ratio; Required stable funding
    • Funding shock
      • balance sheet-based network analysis and, 232, 232f, 233f
      • impact of, 227t–228t
      • See also Credit-plus-funding shock
    • Furfine, Craig, 231
    • Gai, Prasanna, 243
    • Galai, Dan, 406
    • Gale, Douglas, 124
    • Gârleanu, Nicolae, 130
    • Garratt, Rod, 243
    • Gauthier, Celine, 240, 264, 267–68
    • Generalized autoregressive conditional heteroskedasticity, 252n2, 391–92, 392f
    • Generalized extreme value, 413–14, 414n9
    • Generalized method of moments (GMM)
      • Arellano-Bover System, 462, 477, 477nn9–10
      • Difference, 477, 477n7
    • Generally Accepted Accounting Principles, 13n1
    • German VDAX, 566n2
    • Germany, 99, 155, 486n6, 576t
      • banking systems in, 20, 234, 241, 253
      • banks of, 286b, 455n5
    • Gibbs sampler package WinBUGS, 557
    • Giese, Gotz, 140, 142
    • Glitnir Banki hf.
      • background on, 72
      • in receivership, 72–73, 72n6
    • Global Financial Stability Report (GFSR)
      • analyses of, 1, 93–94, 94n9, 410, 532
      • conclusions of, 124
      • data, 157, 557
    • Global Insight, 564
    • Godfrey, Leslie G., 541
    • Goldman Sachs, 181t, 272n16, 523
    • Gomez, G., 395
    • Goodhart, Charles A. E., 515, 528
    • Gordy, Michael, 63, 142n8
    • Gorton, Gary, 124
    • Government
      • assets, 364, 364f
      • guarantees/support of, 334–35
      • liabilities, 364, 364f
    • Government bond
      • EU, 325t
      • yields, 314t, 325t
    • Government of Brazil (GOB)
      • balance sheet, 108–9, 108nn15–16, 109nn17–18, 109t
      • bank simulation results, 112–20, 112nn31–33, 113t, 114t, 115n34, 115t, 116t, 117t, 118t, 119t, 120t
      • debt and default of, 105, 105nn6–7
      • expenses of, 109, 109nn17–18, 109t
      • integrated model of, 106–12, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t, 110 nn20–23, 110t, 111nn24–30
    • Gram-Charlier expansion, 415
    • Granger causality, 411n5
    • Graph theory, 243
    • Great Depression, 263
    • Great Recession, 567
    • Greece, 155
    • Gropp, Reint, 248, 279, 282–83, 286b, 291, 300–301
    • Gross Domestic Product (GDP)
      • of Brazil, 454, 463
      • of Chile, 250, 250t
      • contraction in, 456
      • credit and, 564–66, 567, 568t–569t
      • of EU, 457n9
      • evolution of, 464, 467f, 474f
      • financial regression on, 567n7
      • growth of, 158, 474f, 535, 577
      • macroeconomic assumptions on, 556t
      • real, 557
      • of U.S., 457n9
      • variables of, 20
      • See also Credit over GDP
    • G20
      • Data Gaps Project of, 8
      • report, 410n1
      • spending, 264
    • Haaf, Hermann, 142
    • Haldane, Andrew G., 411, 411n4
    • Hall, Peter, 417, 438
    • Hardy, Daniel, 60, 62, 63
    • Hartmann, Philipp, 301
    • Hasan, Maher, 62, 63–64, 67, 95
    • Hattori, Masazumi, 243
    • Hausman, Jerry A., 541
    • Hausman specification, 541
    • Haver economic database, 395n5
    • Herfindahl-Hirschman Index (HHI), 63–64, 63n14
    • Heřmánek, Jaroslav, 34n26
    • Herstatt Bank, 230, 264, 274
    • Herzegovina, 155, 159, 167t–169t
    • Hesse, Heiko, 96, 99
    • Hilbers, Paul, 18, 24, 39b
    • Hlaváček, Michal, 34n26
    • Hoelscher, David, 153
    • Hofmann, Boris, 515
    • Hongkong and Shanghai Banking Corporation (HSBC), 423n30, 524, 528
    • Hong Kong Monetary Authority, 93, 125t
    • Hong Kong SAR, 28b
    • House
      • prices, 341, 341n1, 559, 559n30, 559t
      • price shock, 347–49, 349f
    • Huang, Xin, 410, 521n18
    • Hui, Cho-Hoi, 101, 130n13
    • Hull, John C., 107–8, 108n13
    • Hungary, 155, 156t, 167t–169t
    • Iceland, 14
      • Althing (parliament) of, 72
      • banking crisis background of, 72–73, 72n4, 72n6
      • case study, 72–87, 72n4, 72n6, 73nn10–12, 74nn14–15, 74t, 75t, 76t, 77t–78t, 79nn16–17, 80t, 81t–82t, 84t–85t, 86n18, 86t
      • domestic and foreign currency of, 73
      • See also Fjármálaeftirlitsins; Glitnir Banki hf.; Landsbanki Íslands hf.; Seðlabanki
      • Icesave retail deposit product, 72n6
      • Imai, Kenji, 404, 407
      • “IMF Exploring Insurance Levy on Banks,” 264n2
      • IMF Monetary and Capital Markets Department Distance-to-Default Database, 286
    • Immediate borrower basis (IBB)
      • Chilean banking system and, 250, 250t
      • data, 213–14, 213n10, 214f, 227, 227t–228t
      • for international claims, 213n10
      • simulations, 213
    • Impavido, Gregorio, 186n10, 189n13
    • Impulse response function (IRF), 388, 400–402, 401f
    • Income
      • GOB balance sheet and, 108–9, 108nn15–16, 109nn17–18, 109t
      • GOB’s net noninterest, 109, 109nn17–18, 109t
      • groups, 343n5
      • interest, 23
      • shock, 346f, 347
      • shock in rate of, 345f–346f, 347
      • solvency stress tests and, 61–62, 62nn6–7, 62t
      • statement, 25–26, 25b
      • See also Debt service-to-income
    • Incremental portfolio
      • approach and TCTF, 265–67, 266f
      • institutional, 266
      • Indicador Mensual de Actividad Económica (IMACEC), 395–97, 396t, 399
      • Indice de Precios Selectivo de Acciones (IPSA), 395–97, 396t
    • Inflation
      • assumptions, 185, 185n3, 186, 186n8
      • shock, 197, 197n30, 197t
    • Institute of International Finance (IIE), 152
    • Insurance, 195, 298, 378
      • companies, 25, 283
      • deposits, 230, 264
      • extension of, 186
      • premium, 94n9, 412t, 444t
      • sector, 2, 8, 25
      • See also American International Group
    • Interbank
      • borrowing, 249
      • exposure model, 211–14, 211f, 211nn4–5, 212f, 212n6, 214f, 214n11
      • exposures, 206, 206n3
      • “macro” contagion test, 35, 35f, 35n27
      • markets, 282b
      • “pure” contagion test, 34–35, 34nn25–26
      • risk and GOB model of default, 103, 106–12, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t, 110nn20–23, 110t, 111nn24–30
      • See also London interbank offered rate
    • Interconnectedness
      • capital charge and, 263–64, 267
      • degree of, 263
      • See also Too-connected-to-fail
    • Interest cover ratio (ICR), 350–54, 353f
    • Interest rate
      • bank-to-bank spread, 108n12
      • direct risk in, 30–31, 30nn14–15, 31nn16–17
      • in Europe, 500
      • indirect risk in, 31
      • rising, 398, 400
      • shock and U.K., 347, 348f
      • short-term, 171, 175
      • spreads, 106
    • Internal Ratings Based (IRB), 160n18, 177
    • International Accounting Standards, 505 International Consolidated Banking Statistics, 213
    • International Financial Reporting Standards, 13n1, 304n14, 505
    • International Financial Statistics, 564
    • International Monetary Fund (IMF)
      • assessments of, 72n4, 570
      • focus of, 5–9, 8f
      • information gaps and quality of, 8–9
      • initiatives of, 208
      • methodology of, 5
      • policies and reports of, 8, 152n4
      • stress testing at, 1–9, 2f, 3f, 3t, 5f, 6t, 7t, 8f
      • See also Financial Sector Assessment Program; Global Financial Stability Report
    • Intesa, 528
    • Investment banks, 523n20
    • Ireland
      • banking in, 283–84, 283n3, 284nn4–6, 285f
      • contagion risk determinants in, 287t, 291–98, 292n9, 292t, 293n10, 293t, 294f, 295t, 296f, 296t
      • contagion risk in, 281–84, 282b, 282nn1–2
      • U.K. and, 283
      • U.S. and, 283
      • See also Bank of Ireland
    • Irish Financial Services Center, 281, 284, 284n5
    • Italy
      • banks of, 286b
      • data on, 155, 576t
    • iTraxx Crossover, 564
    • Jain, Sameer, 407
    • Jančar, Martin, 28b
    • Jaynes, Edwin T., 510
    • Jobert, Arnaud, 248
    • Joint probability of distress (JPoD), 515
      • banking systems and, 515–16, 516f
      • BSI and, 522f, 523f, 525–26
      • BSM and, 520
      • default and, 414
      • model, 412t
    • Jones, Matthew T., 18, 24, 39b
    • JP Morgan, 181t, 272n16
      • as BHC, 523, 528
      • EMBI+, 371f
    • Kapadia, Sujit, 243
    • Karolyi, G. Andrew, 291, 301
    • Kaupthing Bank hf.
      • background on, 72
      • in receivership, 72–73, 72n6
    • Kaupthing Edge, 72n6
    • Kite network, 205–6, 206f
    • Klaar, Andres, 112, 112n32
    • Koenker, Roger, 268
    • Koeva-Brooks, Petya, 562
    • Kong, Janet Q., 248
    • Kovner, Anna, 124
    • Krackhardt, David, 205–6, 206f
    • Kullback, Solomon, 492b–493b, 510
    • La Caixa, 284
    • Lagrange multiplier test, 541
    • Landsbanki Íslands hf. annual reports of, 73
      • assets of, 73–74, 74t
      • background on, 72
      • CAR of, 73
      • Consolidated Financial Statements of, 73
      • funding gap of, 83, 84t–85t lessons from, 83–87, 86n18
      • liquidity position and situation of, 74, 74nn14–15, 75t, 79–83, 79n17
      • liquidity risk of, 74–76, 75t, 761
      • operations of, 72n12, 73–74
      • in receivership, 72–73, 72n6
      • shock within, 79–83, 79n17, 81t–82t
      • stress test combination of, 79, 79n16, 80t
      • stress tests with FME shock, 76–79, 77t–78t
      • summary results of, 83, 86t
    • Latin America
      • banks and sovereigns in, 4, 521, 528
      • financial institutions in, 249, 253, 253t, 257t, 258t, 259t
      • reforms in, 264n1
    • Latvia, 155, 156t, 167t–169t Least squares, 145
    • Lehar, Alfred, 34n26, 231, 240, 264, 267–68
    • Lehman Brothers, 96, 104, 253, 264, 266, 269, 269f, 523–24
    • Lending standards, 558–59, 558f
    • Leverage
      • corporate, 32, 32n23
      • implied ratio, 416n13
      • ratio, 64n20
    • Levonian, Mark, 406
    • Li, David X., 271n14
    • Li, Fuchun, 271n15
    • Liabilities
      • book value of, 361
      • contingent, 214n11, 420–22, 420f, 420n22, 421nn23–25, 422nn26–27
      • contractual, 361, 362
      • correlation between assets and, 199
      • DB and, 196, 196n21
      • domestic currency, 364, 364f
      • GOB balance sheet and, 108–9, 108nn15–16, 109nn17–18, 109t
      • government, 364, 364f
      • layer of, 384, 384nn42–43, 385t
      • management of, 380
      • monetary authority, 364, 364f
      • reevaluation of, 106
      • See also Actuarial liabilities; Contingent claims analysis
    • Likelihood-ratio tests, 541
    • Linear combinations of ratios of spacing method, 438
    • Liquidity
      • cash flow-based tests, 92
      • contagion, 36, 36n30
      • crises, 92–93, 92n5
      • funding, 71, 92
      • indicators, 23
      • intragroup, 153, 153n5
      • as low-frequency-high impact events, 92–93, 92n5
      • management, 152
      • market, 71
      • from outside, 35–36
      • run, 36n28
      • shock, 199, 211–12, 211f, 211n4, 212f, 212n6
      • shortages, 124n2, 131, 131f, 131t
      • short-term, 71
    • Liquidity at Risk, 94, 94n10
    • Liquidity coverage ratio, 94, 97–98
    • Liquidity Ratio for Credit Institutions, 73n10, 79, 79n16
    • Liquidity risk, 14
      • assessment of, 93–94, 93n8, 94nn9–10, 95t
      • BCBS on, 71n2, 86–87
      • considerations and motivation for, 92–93, 92n5, 93nn6–7
      • focus on, 72, 72n4
      • general concepts of, 92–96, 92n5, 93nn6–8, 94nn9–11, 95f, 95t, 96t
      • of Landsbanki Íslands hf., 74–76, 75t, 76t
      • method summary on, 123
      • shock, 71
      • solvency risk and, 91–92, 98–99, 99n19
      • stressed input values and, 441b systemic, 123–32, 124nn1–2, 125t, 126nn3–4, 127f, 128n5, 128n9, 129nn11–12, 130 nn13–16, 130t, 131f, 131t, 132t
      • tests, 35–36, 36f, 36nn28–30
      • See also Iceland; Systemic Risk-Adjusted Liquidity
    • Liquidity stress tests
      • benchmark scenarios of, 99–100, 99n20, 99t
      • of BoE, 125t
      • BU or TD, 94, 95t
      • data for, 126–28, 127f
      • design of, 96–100, 96nn12–14, 97n16, 97n18, 98t, 99nn19–20, 99t framework of, 92, 92nn2–3
      • goal and outcome of, 94
      • Iceland case study and, 72–87, 72n4, 72n6, 73nn10–12, 74nn14–15, 74t, 75t, 76t, 77t–78t, 79nn16–17, 80t, 81t–82t, 84t–85t, 86n18, 86t
      • methodological aspects of, 93–94, 93n8, 94nn9–10, 95t
      • method summary on, 71, 91
      • modeling steps of, 126, 127f
      • next-generation, 91–92, 92nn2–3, 94–96, 95f, 96t
      • reverse, 94, 94n11, 96, 96n14
      • Seðlabanki on, 73, 73n11
      • for U.S. banking system, 128, 128n5, 132
      • See also Iceland
    • Lithuania, 155, 156t, 167t–169t
    • Litzenberger, Robert H., 416, 434
    • Lloyd’s Banking Group, 423n30
    • Loan loss reserve, 160
    • Loan portfolio
      • of Brazilian banking sector, 460t
      • concentration modeling, 129
      • corporate, 128, 128n9
      • of financial institutions, 104–6, 105nn4–7
      • individual, 128–29
      • modeling, 109–10, 110nn20–23, 110t
    • Loans
      • accounting information on, 45
      • business, 110, 110nn22–23
      • classified, 55
      • consumer, 110, 110nn22–23, 558
      • credit risk model of, 128–29, 128n9
      • cross-border banking groups and, 155n10
      • EU cross-border, 153, 153nn6–7
      • losses from, 23, 73
      • NPLs and loss provisions of, 479–80, 480t
      • performing, 47–52, 50t, 51t, 55, 57t
      • short term increases in, 48
      • See also Nonperforming loans
    • Loan-to-value (LTV), 129, 342
    • Lo Duca, Marco, 279, 282–83, 286b, 291, 300–301
    • London Interbank Offered Rate, 124, 436n12
    • Longevity shock, 197–98, 198f, 198t
    • Longin, Francois, 301
    • Longstaff, Francis A., 407
    • Long Term Capital Management, 264, 274, 391
    • Loss distribution
      • for CSFP, 145, 145t
      • ex ante, 266
      • ex post, 266
    • Loss given default (LGD)
      • of Brazilian banking sector, 468
      • CESE and, 160, 177, 177t, 181t
      • PD and, 62–63, 62n8, 63nn9–10
      • of U.K., 344–46, 346n9, 347t
    • Lowe, Philip, 515
    • Lucas, Robert E., 28b
    • Lucas critique, 28b
    • Luna, Leonardo, 395
    • Lütkebohmert, Eva, 63
    • Macroeconomic assumptions, 556t
    • Macroeconomic data, 513–14
    • Macroeconomic developments, 474–75, 474f
    • Macroeconomic factors, 334
    • Macroeconomic model, 105n5
      • BU approach to, 19f, 21–22
      • credit risk and, 28b
      • external shock and, 19f
      • TD approach to, 19f, 21–22, 46n2
    • Macroeconomic regression, 566–70, 567nn4–7, 568t–569t
    • Macroeconomic scenarios
      • in Denmark, 494t, 497–500, 498f, 499f, 499t
      • of NPLs, 479
    • Macroeconomic variables, 395–404, 395f, 395nn5–6, 396t, 397n7, 397t, 398f, 401f, 402f, 403f
    • Macro-financial approach, 4–5, 5f
      • introduction to, 449–51, 450f
      • process, 450
    • Macro Financial Risk, Inc., 367n21
    • Macro-Financial Risk model (MfRisk), 367, 367n21, 384–85, 384n41
    • “Macro” interbank contagion, 34, 35, 35f
    • Macro model, 456–57, 456f, 456nn7–8, 457nn9–11, 457t, 458t, 459f
    • Macroprudential policy and surveillance (MPS)
      • contribution approach to, 410, 410n3, 411t
      • participation approach to, 410, 410n3, 411t
      • systemic risk in, 410–11, 410n1, 411n4
    • Macroprudential stress test
      • alternative scenario of, 548–51, 552t, 553t
      • analysis of, 531–34, 532nn2–7, 533t–534t, 534f
      • assumptions and methodology of, 535–38, 535nn8–9, 536f, 537f, 537t
      • balance sheet expansion and, 543–46, 547f, 548f
      • baseline scenario of, 534–48, 535nn8–9, 536f, 537f, 537t, 538n10, 538t, 539t, 540f, 540n11, 541f, 541n16, 542f, 543n18, 544f, 545f, 546f, 547f, 548f, 548n19, 549t, 550f
      • for BHC, 523nn2–7, 532
      • capital shortfall and, 546–48, 548n19, 549t, 550f
      • earnings profiles and, 537f, 538–41, 539t, 540f, 540n10, 541f
      • retained earnings and, 541–43, 541n16, 543n18, 544f, 545f, 546f
      • securities write-downs and, 538, 538n10, 539t
    • Maechler, Andrea, 171, 566n2
    • Mager, Ferdinand, 63
    • Marginal expected shortfall (MES), 411n4
    • Mark, Robert, 406
    • Market
      • data, 570n11
      • equity index of Brazil, 105, 105n5
      • evaluation, 414
      • funding, 98–99, 99n19
      • liquidity, 71
      • returns, 488n12
      • risk model, 450
      • stock, 247, 314t, 325t
      • value, 361
    • Market-implied capital adequacy ratio, 418–20, 419f, 423
    • Market-implied capital assessment, 418–20, 419f
    • Market implied default probability (MIDP), 384
      • CDS and, 372, 372n27
      • estimation of, 373
    • Market price-based approach
      • comparison of, 3t
      • operational considerations of, 5, 5f, 6t, 7t
      • utilization of, 4, 5f
    • Market prices
      • of assets, 97–98, 97n18
      • for CDS, 268
    • Martinez, Soledad, 153n7
    • Mathieson, Donald J., 301
    • MATLAB, 144
    • Maurer, Martin, 231, 237
    • Maximum domain of attraction, 417
    • Maximum likelihood (ML)
      • estimators, 490
      • systemic CCA and, 417, 417n18
    • Maxwell, William, 128
    • McGuire, Patrick, 213
    • McLiesh, Caralee, 63
    • Mean-squared-error, 490
    • Melchiori, Mario R., 142, 143
    • Merrick, Andrew, 124
    • Merrill Lynch, 181t, 523
    • Merton, Robert C., 4, 247, 271, 271n14, 302, 333, 383–85, 383n38, 384n40, 388, 390, 563b
      • See also Black-Scholes-Merton model
    • Merton model, 393, 407, 414, 414n11, 416
    • MetLife Assurance Limited, 196n21
    • Milevsky, Moshe, 189n13
    • Minimum cross-entropy distributor, 492b–493b, 495b–496b
    • Mitra, Srobona, 72n4
    • MKMV CreditEdge, 423n30
    • Moerman, Gerard, 279, 286b, 291, 300–301
    • Molyneux, Philip, 562
    • Monte Carlo approach, 93, 103, 106n11, 557
      • evaluation of, 378–80, 378n34, 379f
      • implementation of, 377b
      • simulation, 103, 373t, 374, 376–78, 376n31, 377b, 377nn32–33, 378f
      • size of, 106n11
    • Monthly Report on Financial Institutions, 237
    • Moody’s Investor Services, 107t, 112, 234
    • Moody’s KMV (MKMV)
      • data, 247–48, 252, 252t, 264, 268
      • EDF, 562, 562n1, 563b, 563f, 564f
      • estimates, 388, 393
      • framework, 488n9
    • Moretti, Marina, 476
    • Morgan Stanley, 272n16, 523
    • Morgan Stanley Capital International (MSCI), 305, 436n12
    • Morris, Stephen, 210
    • Mortgages, 284
      • delinquent, 555
      • LTV, 129, 342
      • real estate, 104n1, 106n10
      • subprime, 250, 263
    • MSCI All-Country Europe Index, 305
    • MSCI All-Country World Index, 305
    • Multivariate extreme value distribution, 417
    • Multivariate Generalized AutoRegressive
      • Conditional Heteroskedasticity approach, 417n20, 439n19
    • Mutual funds, 237
    • National Bank of Bankistan (NBB), 24
      • back-testing and, 27–28, 27f
      • ranking system of, 27, 27f
      • step function and, 27, 27f
    • Nationwide, 423n30
    • Nelson, Benjamin, 411, 411n4
    • Net foreign investment, 500
    • Netherlands, 155, 234
      • banks of, 125t, 286b, 500, 500n28
      • contagion risk of, 283
    • Net stable funding ratio
      • boundary, 433
      • measurement, 432–36, 432n3, 434n9, 436f
      • sources, 94, 97
    • Network analysis approach
      • application of, 4, 206–8, 206nn3–4
      • introduction to, 205–8, 206f, 206nn3–4, 207f
      • method summary on, 205
      • operational considerations of, 5, 5f, 6t, 7t
      • policy reflections on, 207–8
    • Net worth, 26
    • Nier, Erlend, 243
    • Nonbank financial institutions (NBFIs), 5–8
      • distress of, 514
      • exposures to, 30
      • importance of, 237
    • Nonperforming loans (NPLs)
      • availability of, 64, 64n16
      • background on, 474–75, 474f, 475n1
      • bank-to-bank changes in, 28b, 29, 29n12
      • Brazilian banking sector, 454, 454n1, 458–63, 461nn13–14, 461t, 462f, 463–64, 467f
      • calibration of, 158–60, 158n12, 159n13, 159t, 160n14
      • CAR of, 480–81, 481t
      • CESE and, 156–60, 158n12, 158t, 159t, 160n14
      • changes in, 33, 157
      • data, 475
      • dependent variable of, 476, 476nn2–4
      • econometric credit risk model of, 475–78, 476nn2–4, 477n5, 477n7, 477nn9–10
      • estimation procedure on, 477–78, 477n5, 477n7, 477nn9–10, 478n11
      • evolution of, 458–59
      • increase in, 28b, 29, 29n12
      • independent variable of, 476–77
      • level of, 45
      • loan loss provisions of, 479–80, 480t
      • macroeconomic and financial developments of, 474–75, 474f
      • macroeconomic scenarios of, 479
      • method summary on, 473
      • projection of, 473–74, 479–80, 480t
      • recovery rate of, 110, 110n22
      • regression analysis of, 158, 158t, 173, 173t
      • sensitivity of, 459
      • shock of larger magnitude to, 47, 52–55, 54t
      • shock to, 47–55, 50t, 51t, 54t, 56t
      • stocks and, 160n15
      • stress test design of, 478–79, 478f
      • stress test outcome of, 479–81, 480nn13–14, 480t, 481t
    • Norges Bank, 23, 33b
    • Northern Rock (United Kingdom)
      • case, 210, 210n1
      • failure of, 97
    • Norway, 155
    • Notes to the Consolidated Accounts, 86
    • Oesterreichische Nationalbank, 92–93, 93n8, 136n1
    • Off-balance sheet
      • exposures, 232–33, 233f
      • positions, 26
    • Office of the Comptroller of the Currency, 128
    • Office of Thrift Supervision, 128
    • Ong, Li Lian, 72n4, 99, 171
    • Option pricing, 247, 333
      • See also Black-Scholes-Merton model
    • Ordinary least squares, 255, 462
    • Organization for Economic Cooperation and Development, 96n12
    • Out-of-the-money, 522
    • Overnight indexed swap, 124
    • Padilla, Pablo, 515
    • Pagan, Adrian R., 541
    • Papaganagiotou, Panagiotis, 15, 104
    • Pazarbasioglu, Ceyla, 8
    • Pedersen, Lasse H., 130, 410
    • Pension
      • funds, 237
      • model plan for, 190, 191t–192t, 193f–194f, 195t
      • real plan for, 190, 191t–192t, 193f–194f, 195t
    • Pesola, Jarmo, 28b
    • Pickands, James, 417
    • Pillar 3 reports, 14, 14n3
    • Pirotte, Hugues, 407
    • PoDs derived from CDS spreads (CDS-PoDs), 522
    • Poisson approximation, 137–38, 145, 145t
    • Poland, 152n4, 155, 156t, 167t–169t
    • Poon, Ser-Huang, 301
    • Popov, Alexander, 152–53
    • Portfolio
      • banks’, 8, 104–6, 105nn4–7
      • Brazil’s aggregation bias, 464–66, 465n15, 468f, 469f, 469t, 470t
      • ex ante, 268n6
      • ex post, 268n6
      • of financial institutions, 104
      • TCTF and incremental, 265–67, 266f
      • See also Incremental portfolio; Loan portfolio
    • Portfolio credit risk
      • of balance sheet-based approach, 14–15
      • EC and, 486, 487–89, 487n8, 488f, 488nn9–13
      • improvement of, 489–94, 490nn16–18, 491b–492b, 492b–493b, 494t
      • information restrictions binding, 488–89, 489f, 489n14
      • measurement, 485, 489–94, 490nn16–18, 491b–492b, 492b–493b, 493n23, 494t
      • PLD and, 487–89, 487n8, 488f, 488nn9–13
      • UL of, 486
    • Portfolio loss distribution (PLD)
      • estimation of, 486
      • portfolio credit risk and, 487–89, 487n8, 488f, 488nn9–13
    • Portfolio multivariate density (PMD), 486
      • CIMDO and, 502–4, 503f, 504t
      • CoPoD, 502–4, 503f, 504t
      • of Denmark, 502–3, 503f, 504t
    • Principal component analysis, 388, 397–99, 397t, 398f
    • Probability
      • Bernoulli events and, 144, 145t
      • CreditRisk+ model with known, 138
      • CreditRisk+ model with nonrandom default, 137
      • CreditRisk+ model with random default, 138–39, 139n6, 146–47, 146f, 147f
    • survival, 184–85, 184n2
    • Probability generation function, 149
    • Probability Integral Transformation, 494, 516
    • Probability of default (PD), 271, 271nn12–13
      • estimation of, 143n19
      • LGD and, 62–63, 62n8, 63nn9–10
      • rankings and, 26–28, 26n10, 27f
      • ratings and, 23
      • RWA and sensitivity of, 63, 63nn11–12
      • sovereign risk and, 384, 384nn40–41
      • stress tests and, 39, 40f, 41f
      • See also Conditional probability of default; Risk-neutral default
    • probability Probability of distress (PoD)
      • of banks, 515, 522
      • BSMs and, 515, 516f
      • changes in, 514
      • sovereign credit risk and, 366
    • Profits
      • of banks, 22–23
      • components of, 23
      • excess, 160–61, 160t
    • Projected benefit obligation (PBO), 189
    • Projected benefit obligation choice of method (PBOcd), 195
    • Puhr, Claus, 62, 63–64, 67, 95
    • Quantile regression
      • CoRisk and, 254–53, 255n11, 268n7
      • integration of, 268n7
    • quasi-Internal Ratings Based approach (QIRB)
      • method, 60
      • RWA, 63nn15–19, 64, 65f
    • Quintos, Carmela E., 301
    • Rawkins, Paul, 112, 112n32
    • Real estate
      • assets, 129
      • mortgages, 104n1, 106n10
      • prices, 497–500, 499t
      • See also Commercial real estate; Residential real estate
    • Reduced-form approach (RA), 488n13
    • Regression
      • of assets, 537f
      • bank, 570–72, 571t
      • credit, 578t
      • GDP and financial, 567n7
      • macroeconomic, 566–70, 567nn4–7, 568t–569t
      • model, 565–66, 565f, 566n2
      • See also Quantile regression; Vector error correction model regression
    • Regression analysis
      • of NPLs, 158, 158t, 173, 173t
      • of ROAs, 158, 158t
      • of sovereign credit risk, 370–74, 370n25, 372nn26–28, 372t, 373t, 374f
    • Regulatory capital, 24n8
      • Basel III on, 264
      • TCTF and, 263
    • Reiss, Oliver, 142
    • Required stable funding (RSF)
      • components of, 433–34
      • covariance of, 435f
      • factors, 442t
      • value of, 434
      • volatility of, 441b
    • Reserve management
      • evaluation of, 378–80, 379f
      • framework for, 380–81, 380nn35–36, 381n37
      • sovereign credit risk and, 378–81, 379f, 380nn35–36, 381n37
    • Residential real estate (RRE)
      • charge-off rate, 558
      • losses, 535–36, 537t, 551, 552t
    • Retirement
      • benefit assumptions and DB, 201
      • members and actuarial liabilities, 186, 186nn7–9, 187t, 188t, 201
      • See also Actuarial liabilities; Defined benefit
    • Retirement benefit obligation (RBO), 189, 189n14
    • Return on assets (ROA)
      • annualized, 532, 532n6
      • calibration of, 158–60, 158n12, 159n13, 159t, 160n14
      • CESE and, 156–60, 158n12, 158t, 159t, 160n14
      • changes in, 157
      • regression analysis of, 158, 158t
    • Rigabon, Roberto, 301
    • Riley, David, 112, 112n32
    • Ring-fencing
      • absence of, 152
      • full, 153–54, 155, 155t
      • impact of, 151–54, 152n4, 152nn1–2, 153nn5–7
      • method summary on, 151
      • near-complete, 153–54, 155, 155t
      • no, 153–54, 155, 155t
      • partial, 153–54, 155, 155t
      • scenarios and CN, 160–63, 160n15, 160nn17–19, 161n20, 162f, 163f
      • types of, 153–54, 155, 155t
    • Risk
      • balance sheet-based approach and portfolio, 14–15
      • Brazil’s bank ratings and, 103, 115–21, 117nn35–36, 118t, 119t, 120t
      • capital charge, 267–68, 268n6
      • credit shock and concentration, 30
      • data on financial sector, 562–64, 563b, 563f, 576t
      • direct interest rate, 30–31, 30nn14–15, 31nn16–17
      • of foreign banks, 527–28
      • FX, 196, 196t
      • FX direct, 31–32, 31nn18–19, 32nn21–22
      • FX indirect, 32–33, 32nn22–23
      • GOB model of default and interbank, 103, 106–12, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t, 110nn20–23, 110t, 111nn24–30
      • indicators, 390–95, 391f, 393f, 394f, 395f570n11
      • indirect interest rate, 31
      • measures of CCA, 388–95, 389f, 390n3, 391f, 392f, 393f, 394f 395f
      • mitigation, 380n37
      • model of market, 450
      • profile, 414
      • sensitivity and solvency stress tests, 60–61, 60n4, 61f
      • simulation model of banks, 106–8, 106nn10–11, 107t, 108nn12–16, 109nn17–18, 109t
      • TCTF, 229–30
      • transfer data, 213–14, 214f
      • See also Contagion risk; Credit risk; Debt at risk; Liquidity risk; Ultimate risk basis
    • Risk Assessment Model for Systemic Institutions (RAMSI), 60, 93, 99n19, 130n13, 423
    • RiskMetrics CreditGrades model, 407
    • Risk-neutral default probability (RNDP), 247, 366, 375n30
      • CCA and, 393, 393f, 394f 395
      • CDS and, 422, 422n27
    • Risk transfer
      • algorithm with, 212–13, 213n7
      • algorithm without, 212
      • data, 213–14, 214f
      • presence of, 212, 218–23, 222f, 222n14, 223f,224f
      • transmission of, 218–23, 222f, 222n14, 223f, 224f
    • Risk-weighted assets (RWA), 160
      • accounting information on, 45
      • adjustment of, 60
      • calculation of, 480
      • for credit risk, 63
      • decline of, 47, 47n3
      • name concentration and, 63–64, 63n14
      • QIRB, 63nn15–19, 64, 65f
      • sensitivity of asset correlations, 63, 63n13
      • sensitivity of PDs to, 63, 63nn11–12
      • translation of, 63nn15–19, 64, 65f
      • value of, 28b, 29, 29n12
    • Roberts, Tom, 243
    • Rockinger, Michael, 301
    • Rohatinski, Željko, 152n4
    • Romania, 155, 156t, 159, 167t–169t, 171
    • Royal Bank of Scotland (RBS), 423n30
    • Russia, 155, 156t, 158n12, 159t, 167t–169t, 171
      • capital controls in, 365
      • crisis in 1998, 391
    • Santander, 528
    • Santander Chile, 256, 260n14
    • Santander U.K., 423n30
    • Sargan test, 477, 477n10
    • Satellite model, 19f
    • Schleifer, Andrei, 63
    • Schmeider, Christian, 60, 62, 63–64, 67, 95–96, 99
    • Schmeider, S. Philipp, 63
    • Schmitz, Stefan W., 101
    • Schoar, Antoinette, 124
    • Schoenmakers, John, 142
    • Scholes, Myron S., 4, 247, 271, 286b, 302, 333, 388, 563b
      • See also Black-Scholes-Merton model
    • Schumacher, Liliana, 15, 94, 104
    • Schwartz, Eduardo S., 407
    • Schwartz information criterion, 399
    • ScotiaBank, 256, 528
    • Securities
      • mortgage-backed, 104n1
      • prices, 240, 240n13
      • write-downs, 538, 538n10, 539t
    • Seðlabanki
      • on króna, 73
      • on Liquidity Ratio for Credit Institutions, 73n10, 79, 79n16
      • on liquidity stress tests, 73, 73n11
      • receivership by, 72–73, 72n6, 73nn10–11
      • on solvency risk, 73, 73n10
      • stress test combination of Landsbanki Íslands hf. and, 79, 79n16, 80t
    • Segoviano, Miguel A., 489, 492b–493b, 494, 510, 515, 518, 528
    • Senior Loan Officer Opinion Survey of Bank Lending Practices, 558–59, 558f
    • Serbia, 155, 156t, 167t–169t
    • Shannon, Claude E., 509–10
    • Shapley values, 268n6
    • Shared National Credits Review, 128
    • Sheldon, George, 231, 237
    • Shin, Hyun Song, 210
    • Shock
      • balance sheet, 48
      • to banking system, 47, 52, 53t
      • to banks, 47, 52, 53t, 55
      • common, 440, 441b
      • DB, asset, 195–96, 196n20, 196t
      • DB and liability, 196, 196n21
      • external, 19f
      • firm-specific, 440
      • FME, 76–79, 77t–78t
      • house price, 347–49, 349f
      • income, 346f, 347
      • inflation, 197, 197n30, 197t
      • interest rate, 196–97, 196t, 197t
      • within Landsbanki Íslands hf., 79–83, 79n17, 81t–82t
      • of larger magnitude to NPLs, 47, 52–55, 54t
      • liabilities and, 196, 196n21
      • liquidity, 199, 211–12, 211f, 211n4, 212f, 212n6
      • liquidity risk, 71
      • longevity, 197–98, 198f, 198t
      • to multi-assets, 199
      • to NPLs, 47–55, 50t, 51t, 54t, 56t
      • risk transfer, 232–33, 233f
      • short-term, 48
      • single-factor, 556
      • transmission of, 478, 478f
      • U.K. interest rate, 347, 348f
      • volatility, 441b
    • Sibert, Anne, 74–76
    • Sistema Especial de Liquidaçáo e Custodia, 457
    • Sklar, Abe, 417n20, 519
    • Slack, Graham, 18, 24, 39b
    • Slovakia, 155, 156t, 159, 167t–169t
    • Slovenia, 155, 156t, 159, 167t–169t
    • Small- and medium-sized enterprises, 486–87, 487n6
    • SNL Financial, 532n5, 534
    • Social networks, 205
    • Societe Generale, 274, 528
    • Solé, Juan, 205
    • Solnik, Bruno, 301
    • Solvency, 33
      • financial crisis (2007–2008) and, 72, 72n4
      • of firm, 414
      • See also Contagion risk
    • Solvency risk
      • liquidity risk and, 91–92, 98–99, 99n19
      • method summary on, 123
      • modeling of, 129–30, 129nn11–12, 129t, 130nn13–16
      • modeling results of, 130–32, 131f, 131t, 132t
      • Seðlabanki on, 73, 73n10
      • systemic, 123–32, 124nn1–2, 125t, 126nn3–4, 127f, 128n5, 128n9, 129nn11–12, 130nn13–16, 130t, 131f, 131t, 132t
      • value of, 362–63, 362nn8–9
    • Solvency stress tests, 35
      • architecture of, 64–66, 65f
      • credit risk and, 62
      • dimensions of, 60
      • ECB and, 60, 60n3, 97
      • execution of, 66–67, 68f
      • framework of, 59–61, 60nn1–4, 61f, 66, 67f
      • FSI and, 66
      • income and, 61–62, 62nn6–7, 62t macro scenario of, 66
      • methodology of, 61–68, 61n5, 62nn6–7, 62t, 63nn11–14, 64nn15–20, 65f, 66f 66n21, 67f, 68f
      • method summary on, 59
      • next-generation of, 60, 60n2
      • risk sensitivity and, 60–61, 60n4, 61f, scope and, 60–61, 61f
      • stress test metric and, 61, 61n5
      • technical overview of, 64–67, 65f, 66f 66n21, 67f, 68f
      • use of, 60–61, 61f
    • Soramaki, Kimo, 243
    • Souissi, Moez, 240, 264, 267–68
    • Southeastern Europe (SEE), 156t, 158n12
    • Souto, Marcos R., 104, 108, 110, 112n31
    • Sovereign assets, 362–64, 362n5, 362nn8–9, 363f,383
    • Sovereign balance sheet
      • adjusted, 378n34
      • CCA of, 364–66, 364f, 364nn10–11, 365n12, 365nn16–18
      • consolidation of, 364, 364f, 364nn10–11
      • seniority of, 364–65, 365n12, 365nn16–17
      • value, volatility and, 365–66, 366n18
    • Sovereign credit risk, 103–6, 111, 111nn25–29
      • degree of, 367–74, 367nn21–23, 368f–369f, 369n24, 370n25, 370t, 371f, 372nn26–28, 372t, 373t, 374f
      • DtD and, 366–70, 368f–369f, 369n24, 370t
      • hypothetical, 373t, 373–80, 374f, 374t, 375n30, 375t, 376n31, 377b, 377nn32–33, 378f: 378n34, 379f
      • indicators of, 366–67, 366n19
      • PoD and, 366
      • premium, 366–67
      • regression analysis of, 370–74, 370n25, 372nn26–28, 372t, 373t, 374f
      • reserve management and, 378–81, 379f, 380nn35–36,381n37
    • Sovereign default, 103–6, 361b
    • Sovereign risk
      • approach, 359–64, 361b, 361n4, 362nn5–9, 363f
      • banks and, 334
      • with CCA, 359–61, 360n1
      • concept, 362, 362nn5–7, 363f
      • corporate to, 361b
      • government guarantees/support of, 334–35
      • measurement of, 334
      • method summary on, 359
      • PD and, 384, 384nn40–41
    • Sovereign Wealth Funds (SWF), 250
    • Spain, 576t
      • banks of, 230, 274, 284, 286
      • Chile and, 250
      • exposures of, 487n6
    • Spearman’s rank correlation, 367n23
    • Special Liquidity Scheme, 342n3
    • Spillover risk, 281
      • copula-based, 279
      • Diebold-Yilmaz, 279
      • within EU, 308–9, 308t, 309n26
      • frequency of, 309
      • of global banking system, 305–8, 306t–307t, 308n22, 308t
    • SRISK, 412t
    • Stafford, Erik, 130
    • Stand-alone subsidiarization
      • pros and cons of, 153–54, 155, 155t
      • scenarios, 160t, 161
    • Standard and Chartered, 528
    • Standard Chartered Bank, 423n30
    • Standardized Approach, 60
    • Standard & Poor’s (S&P), 128
    • Starica, Catalin, 301
    • State-price density, 416, 434
    • Stock
      • market indices, 325t
      • markets, 247, 314t
      • NPLs and, 160n15
    • Stolz, Stephanie, 476
    • Straetmans, Stefan, 301
    • Stress Tester 3.0
      • approaches to, 21–22, 40–42
      • assumption with, 24n7
      • file overview and process of, 18–24, 19b, 19f
      • 20t, 21n2, 23nn5–6, 24nn7–8
      • guide to, 18–21, 19f, 20t, 21n2
      • results of, 22–23, 22nn5–6
    • Stress tests
      • actual data and, 18
      • approaches, models and methods of, 1–5, 2f, 3t, 5f
      • assumptions in, 18, 41
      • Brazilian banking sector and, 463–70, 465n15, 467f, 468f, 469f, 469t, 470t, 471t
      • on CAR, 37, 37f
      • challenges, 15
      • CIMDO and procedure for, 496–97
      • concepts of, 92
      • contingency planning and, 87
      • CoPoD and procedure for, 496–97
      • for DB, 190–99, 191t–192t, 193f–194f, 195nn18–19, 195t, 196nn20–21, 196t, 197n30, 197t, 198f, 198t
      • design consistent scenarios, 37–38, 37f, 38f,38n32
      • factor models and, 42
      • file overview and process of, 18–24, 19b, 19f, 20t, 21n2, 23nn5–6, 24nn7–8, 41–42
      • global financial crisis and, 1
      • at IMF, 1–9, 2f, 3t, 5f, 6t, 7t, 8f
      • method summary on, 17
      • metric of, 61, 61n5
      • modeling feedback effects of, 39–40
      • NPLs and design of, 478–79, 478f
      • NPLs and outcome of, 479–81, 480nn13–14, 480t, 481t
      • PDs and, 39, 40f, 41f
      • proposed, 125t
      • scenarios, 36–40, 37f, 38f 38n32, 39b, 40f, 41f
      • SRL model framework and, 441b
      • strengths and weaknesses of, 17–18
      • variables in, 22–23, 22nn5–6
      • See also specific approaches
    • Strike price, 416n15
    • Stulz, Rene M., 291, 301
    • Suda, Yuko, 243
    • Summer, Martin, 34n26, 231
    • Sunirand, Pojanart, 515
    • Superintendencia de Bancos e Instituciones Financieras, 237, 253
    • Supervisory Capital Assessment Program, 60, 60n1, 449–51, 531–32, 534f
    • Sweden, 155, 576t
    • Swinburne, Mark, 476
    • Swiston, A ndrew, 559
    • Switzerland, 567, 576t
    • Systemic CCA
      • application of, 419f, 422–28, 423nn29–32, 424f, 425f, 426f 426n33, 427t
      • estimation and specification of, 414–18, 415t, 416nn12–16, 417nn17–20, 418n21
      • expected loss from, 414–18, 415t, 416nn12–16, 417nn17–20, 418n21
      • extensions of, 418–22, 419f, 420f 421nn23–25, 422nn26–28
      • framework, 409–13, 410n1, 410n3, 411nn4–5, 411t, 412t, 413n6
      • measurement of, 335
      • methodology of, 413–18, 413n8, 414n9, 415t, 416nn12–16, 417nn17–20, 418n21
      • method summary on, 409
      • ML and, 417, 417n18
      • model, 412t
    • Systemic Expected Shortfall
      • MES and, 411n4
      • model, 412t
    • Systemic risk
      • within banks, 111–12, 111n30, 116–21, 117nn35–36, 118t, 119t, 120t
      • liquidity, 123–32, 124nn1–2, 125t, 126nn3–4, 1277, 128n5, 128n9, 129nn11–12, 130 nn13–16, 130t, 131f, 131t, 132t
      • in MPS, 410–11, 410n1, 411n4
      • solvency, 123–32, 124nn1–2, 125t, 126nn3–4, 1277, 128n5, 128n9, 129nn11–12, 130 nn13–16, 130t, 131f, 131t, 132t
    • Systemic Risk-Adjusted Liquidity (SRL)
      • application of, 440–45, 440n22, 441nn23–24, 442f, 442n58, 442t, 443f, 444t
      • approach, 440
      • characterization of, 432–33, 432n1, 432n3, 433n4
      • methodology, 433–40, 433n5, 434nn6–11, 435f, 436f 436n12, 437nn13–16, 438f, 438n17, 439nn18–21, 441b
      • method summary on, 431
      • model, 431–33, 432n1, 432n3, 433n5
      • model framework and stress tests, 441b
    • Systemic Risk Monitor (SRM), 60
    • System or portfolio DD (DD-system), 563
    • Tajvidi, Nader, 417, 438
    • Tarashev, Nikola, 239, 240, 264, 264n3, 267–68
    • Tawn, Jonathan, 301
    • Termination rate shocks, 198
    • Through-the-cycle, 64, 64n18
    • Tieman, Alexander, 282, 286b, 566n2
    • Too-big-to-fail, 230
    • Too-connected-to-fail (TCTF)
      • analysis of Chilean banking system and, 237–39, 238t, 239t, 240f, 241t
      • assessment of, 230, 274–75, 274n17, 274n19
      • balance sheet-based network analysis and, 230–33, 231f, 231n2, 231nn4–5, 232f, 233f
      • banking systems, 234, 237t
      • calculations, 268–72, 268n7, 269f, 269nn8–9, 270f, 271nn12–15
      • capital charge and, 263, 264n3, 265–68, 266f, 268n6
      • characterization of, 230
      • example of, 272–74, 272n16, 272t, 273t
      • incremental portfolio approach and, 265–67, 266f
      • other approaches and, 267–68, 268n6
      • regulatory capital and, 263
      • risk, 229–30
      • societal losses and, 265
      • summary method on, 229, 263
      • two-bank example and, 265
    • Too-many-to-fail, 230
    • Top-down (TD)
      • approach to macroeconomic model, 19f,21–22, 46n2
      • liquidity stress tests, 94, 95t
    • Troubled Asset Relief Program (TARP), 534, 543
    • Tsatsaronis, Kostas, 239, 240, 264, 264n3, 267–68
    • Tsomocos, Dimitrios P., 515
    • Turkey, 152n4, 155, 156t, 167t–169t, 171
    • UBS, 525, 527
    • Udell, Gregory, 152–53
    • Ukraine, 155, 156t, 158n12, 159t, 167t–169t, 171
    • Ultimate risk basis (URB)
      • data, 213–14, 213n10, 214f, 227, 227t–228t
      • for foreign claims, 213n10
    • Unemployment, 500–501
    • Unexpected loss (UL)
      • of portfolio credit risk, 486
      • term, 486n1
    • Unicredito, 528
    • United Kingdom (U.K.), 196n21, 357–58, 576t
      • banking sector and EL, 422–27, 423nn29–32, 424f, 425f, 426f, 427t
      • banking systems in, 234, 240
      • banks of, 286 b
      • CCA and, 333–34, 337–38, 350f, 353–56, 355b, 356f, 357f
      • Chilean banking system and, 250
      • Contagion risk of, 283–84
      • corporate and financial linkages within, 349–56, 350f, 350n10, 351f, 352f, 353f 354f, 355b, 356f
      • debt at risk and, 337–38, 344
      • during global financial crisis, 338–40, 338f, 339f, 340f, 341f
      • household and financial linkages within, 328–49, 338f, 339f, 340f, 341f, 342f 342n3, 343f, 343nn4–5, 344nn7–8, 344t, 345f–346f, 347n9, 347t, 348f, 349f 350f
      • ICR and, 350–54, 353f
      • interest rate shock and, 347, 348f
      • Ireland and, 283
      • LGD of, 344–46, 346n9, 347t
      • unsecured debt of, 349, 350f
    • United States (U.S.), 195n18, 196n21
      • banking sector, 440–45, 441b, 441nn23–24, 442f, 442n25, 442t, 443f, 444n55, 444t
      • banking systems in, 234, 240, 254f, 263
      • banks, 230, 286b
      • business week principle utilized by, 93
      • Contagion risk of, 283–84
      • debt, 555n20
      • financial environment, 128, 128n5, 132
      • financial institutions in, 257t, 258t, 272n16, 272t
      • GDP of, 457n9
      • Ireland and, 283
      • liquidity stress tests and banking system of, 128, 128n5, 132
    • Upper, Christian, 231
    • U.S. dollar, 456
      • Costs, 93, 93n7, 189n15
      • measurement in, 364n10
    • Value-at-risk (VaR)
      • Brazilian credit, 466–70, 470t, 471t
      • components of, 94, 437
      • credit, 135, 146–47, 146f, 147f
      • as incoherent, 439n20
      • levels, 112
      • measures, 377n33
      • models, 42, 377n32
    • ValueCalc Banking System Risk Modeling
      • Software, 104, 104n3, 124n1
    • ValueCalc Global Portfolio and Credit Risk, 104, 104n3
    • van Deventer, Donald, 404, 407
    • van Lelyveld, Iman, 152
    • Variables
      • CoPoD and explanatory, 490–93, 493n23, 494t
      • GDP, 20
      • macroeconomic, 395–404, 395f, 395nn5–6, 396t, 397n7, 397t, 398f, 401f, 402f 403f, NPLs and dependent, 476, 476nn2–4
      • NPLs and independent, 476–77
      • in stress tests, 22–23, 22nn5–6
    • Vasicek, Oldrich, 271n14
    • Vasicek model, 107–8, 108n13
    • Vassalou, Maria, 286b, 563b
    • Vector autoregression (VAR)
      • CCA and, 388, 399–400
      • specifications, 456
    • Vector error correction model regression, 577, 578t
    • Vesala, Jukka, 248, 279, 282–83, 286b, 291, 300–301
    • Virolainen, Kimmo, 28b
    • Volatility
      • of ASF, 441b
      • of RSF, 441b
      • to shock, 441b
      • sovereign balance sheet and, 365–66, 366n18
      • See also Chicago Board Options Exchange Market Volatility Index (VIX)
    • von Peter, Götz, 213
    • Vulpes, Guiseppe, 248
    • Wachovia, 104, 523
    • Washington Mutual (WaMu), 104, 523, 527
    • Watson, Geoffrey S., 541
    • Watts, Duncan, 243
    • Wells, Simon, 231, 237, 243
    • Wells Fargo, 272n16
    • White, Alan, 107–8, 108n13
    • Wilson, Thomas, 454
    • Wong, Eric, 101, 130n13
    • World Bank, 63, 160, 570
    • World Economic Outlook, 158, 535, 557
    • Worldscope, 350n10
    • Worms, Andreas, 231
    • Wu, Liuren, 422
    • Xing, Yuhang, 286b, 563b
    • Yao, James Y., 301
    • Zhou, Hao, 410
    • Zhu, Haibin, 410
    • Z-scores, 23, 23nn5–6, 247
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