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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...

Systemic Risk, Aggregate Demand, and Commodity Prices

Systemic Risk, Aggregate Demand, and Commodity Prices »

Source: Systemic Risk, Aggregate Demand, and Commodity Prices

Volume/Issue: 2015/165

Series: IMF Working Papers

Author(s): Javier Gómez?Pineda , Dominique Guillaume , and Kadir Tanyeri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 July 2015

ISBN: 9781513552545

Keywords: Financial linkages, Global imbalances Commodity prices, output, country risk, trade, Open Economy Macroeconomics, Forecasting and Simulation,

The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output g...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

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

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

DOI: http://dx.doi.org/10.5089/9781513513621.001

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...

Systemic Risk, Aggregate Demand, and Commodity Prices

Systemic Risk, Aggregate Demand, and Commodity Prices »

Volume/Issue: 2015/165

Series: IMF Working Papers

Author(s): Javier Gómez?Pineda , Dominique Guillaume , and Kadir Tanyeri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 July 2015

DOI: http://dx.doi.org/10.5089/9781513552545.001

ISBN: 9781513552545

Keywords: Financial linkages, Global imbalances Commodity prices, output, country risk, trade, Open Economy Macroeconomics, Forecasting and Simulation,

The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output g...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

DOI: http://dx.doi.org/10.5089/9781451864830.001

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...