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Back Matter

Back Matter »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can...

Front Matter

Front Matter »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can...

Chapter 33. A Forward-Looking Macroprudential Stress Test for U.S. Banks

Chapter 33. A Forward-Looking Macroprudential Stress Test for U.S. Banks »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

This chapter presents a forward-looking macroprudential stress test methodology for 53 U.S. bank holding companies to assess how changes in the operating environment may affect the medium-term health of indi...

Chapter 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector

Chapter 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

This chapter proposes a model to conduct a macro stress test of credit risk for the banking sector based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios int...

Chapter 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing

Chapter 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

Using a case study approach, this chapter illustrates the process of developing a balance sheet stress testing model for a relatively large banking sector of regional importance. The chapter first discusses...

Chapter 15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems

Chapter 15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

The 2008–9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or too-connected-to-fail risk, among financial institutions for country monitoring, financial...

Chapter 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks

Chapter 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

This chapter presents a stylized analysis of the effects of ring-fencing (i.e., different restrictions on cross-border transfers of excess profits and/or capital between a parent bank and its subsidiaries lo...

Chapter 32. Banking Stability Measures

Chapter 32. Banking Stability Measures »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

This chapter defines a set of banking stability measures that take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspec...

Chapter 12. Conducting Stress Tests of Defined Benefit Pension Plans

Chapter 12. Conducting Stress Tests of Defined Benefit Pension Plans »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

This chapter describes the basic mechanics of defined benefit (DB) plan liability valuation and how to conduct simple stress tests of the solvency ratio. We first review the essential building blocks of liab...

Chapter 14. Cross-Border Financial Surveillance: A Network Perspective

Chapter 14. Cross-Border Financial Surveillance: A Network Perspective »

Source: A Guide to IMF Stress Testing : Methods and Models

Series: Books

Author(s): Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2014

ISBN: 9781484368589

Keywords: banking, banking system, financial institutions, financial stability, financial sector

Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This chapter illustrates how network analysis could make a significant contribution in this reg...