Series: IMF Working Papers
Author(s): Christian Schmieder , Maher Hasan , and Claus Puhr
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2011
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...