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Asia and Pacific > India

You are looking at 1 - 10 of 33 items for :

  • Type: Journal Issue x
  • Financial risk management x
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Cover High-Level Summary Technical Assistance Reports
India: Review and Evaluation of the Reserve Bank of India’s Stress Test Model Framework
Marco Gross
and
Wei Sun
This report provides a brief summary of the purpose and findings of a technical assistance (TA) mission that was intended to review and evaluate the Reserve Bank of India (RBI)’s stress test model suite, which took place in April 2023. The RBI’s model suite was found to be strong and well developed in numerous respects. The most noteworthy recommendations pertain to credit risk, market risk, and macro-financial scenario design. A detailed list of 28 recommendations spanning all areas was left with the RBI. A detailed TA report accompanies this brief summary report.
Keywords:
Bank solvency risk analysis; liquidity risk analysis; contagion analysis; stress test model framework; IMF team; RBI's model suite; TA mission; summary report; Stress testing; Market risk
Cover Technical Assistance Reports
India: Technical Assistance Report-Review and Evaluation of the Reserve Bank of India’s Stress Test Model Framework
International Monetary Fund. Monetary and Capital Markets Department
This report summarizes the content and findings of a technical assistance (TA) mission that was reviewing and evaluating the Reserve Bank of India (RBI)’s stress test model suite. The RBI’s model suite was found to be strong and well developed in numerous respects. The most noteworthy recommendations pertain to credit risk, market risk, and macro-financial scenario design. A detailed list of recommendations spanning all areas was left with the RBI.
Keywords:
Bank solvency risk analysis; liquidity risk analysis; contagion analysis; India.; IMF TA mission member; CD recipient; revaluation calculation; stress test model framework; executive director Dr. O. P. Mall; Stress testing; Market risk; Credit risk; Nonperforming loans; Credit; Global
Cover IMF Working Papers
Monitoring Privately-held Firms' Default Risk in Real Time: A Signal-Knowledge Transfer Learning Model
Jorge A Chan-Lau
,
Ruofei Hu
,
Luca Mungo
,
Ritong Qu
,
Weining Xin
, and
Cheng Zhong
We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to construct a probability of default (PD) function. This function integrates high-frequency, market-based, aggregate distress signals with low-frequency, firm-level financial ratios, and macroeconomic indicators. When provided with private firms' financial ratios, the model, which we name signal-knowledge transfer learning model (SKTL), transfers insights gained from 35 thousand publicly-traded firms to more than 4 million private-held ones and performs well as an ordinal measure of privately-held firms' default risk.
Keywords:
Default risk; Corporate sector; Privately-held firm; Gradient boosting; Transfer learning; signal-knowledge transfer learning model; publicly-traded firm; gradient-boosting model; transfers insight; held firm; Financial statements; Debt default; Solvency; Credit risk; Europe; North America; Global; Asia and Pacific
Cover IMF Working Papers
Corporate Sector Resilience in India in the Wake of the COVID-19 Shock
Lucyna Gornicka
,
Ms. Sumiko Ogawa
, and
Ms. TengTeng Xu
To assess the resilience of India’s corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a differential impact across sectors, with the most severe impact on contact-intensive services, construction, and manufacturing sectors, and micro, small, and medium enterprises. On policy impact, the results highlight that temporary policy measures have been particularly effective in supporting firm liquidity, but the impact on solvency is less pronounced. On financial sector balance sheets, we found that public sector banks are more vulnerable to stress in the corporate sector, partly due to their weaker starting capital positions. When considering forward-looking multiperiod growth scenarios, we find that the overall corporate performance will depend on the speed of recovery. A slower pace of recovery could lead to persistently high levels of debt at risk, especially in some services and industrial sectors.
Keywords:
balance sheet data; micro firm; firm liquidity; firm's equity; firm's ability; manufacturing firm; Stress testing; Corporate sector; COVID-19; Financial statements; Solvency stress testing; Global
Cover Policy Papers
2021 Comprehensive Surveillance Review — Overview Paper
International Monetary Fund. Strategy, Policy, & Review Department
Fund surveillance needs to evolve to face the economic and financial challenges that will shape the global landscape for years to come. This paper first takes stock of the current economic and financial landscape. To better serve the membership in this context, Fund surveillance should be prioritized around four key priorities: (i) confronting risks and uncertainties: policymakers will need to actively manage the risks of a highly uncertain outlook; (ii) preempting and mitigating adverse spillovers: shifting patterns of global economic integration will bring about new channels for contagion and policy spillovers; (iii) fostering economic sustainability: a broader understanding of sustainability to better account for the impact of economic and non-economic developments on stability; and (iv) unified policy advice: better accounting for the trade-offs and synergies among different policy combinations in the face of limited policy space and overlapping priorities, tailored to country-specific circumstances. These priorities should further enhance the traction of Fund surveillance.
Keywords:
Fund surveillance; policy advice; IMF surveillance; Policy reaction; surveillance activity; Spillovers; Climate change; COVID-19; Income inequality; Financial sector risk; Global
Cover IMF Staff Country Reports
Nepal: 2019 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Nepal
International Monetary Fund. Asia and Pacific Dept
This 2020 Article IV Consultation focuses on Nepal’s near and medium-term challenges and policy priorities and was prepared before coronavirus disease 2019 became a global pandemic and resulted in unprecedented strains in global trade, commodity and financial markets. During recent years, strong growth in Nepal has been supported by greater political stability, improved electricity supply, and reconstruction activity following the devastating earthquakes in 2015. Additional policies are needed to continue to support inclusive growth, while safeguarding macroeconomic and financial stability. Fiscal policy should remain prudent, and the transition to fiscal federalism carefully managed. Macroprudential measures should remain in place to limit the build-up of financial sector risk. Recent reforms to boost foreign investment need a supportive implementation environment. Strengthening the implementation of monetary policy requires a well-functioning interest rate framework that reduces volatility in short-term interest rates. Less short-term interest rate volatility would support financial market development and improve policy signaling and transmission. The IMF staff emphasizes the need to introduce a standing deposit facility as a first step toward establishing a reliable implementation track record for the interest rate corridor.
Keywords:
ISCR; CR; government; current account; GDP; remittance; remittance inflow; credit growth; r eal GDP growth; central government deficit; financing transaction; remittances slowdown; liability positions vis-à-vis nonresident; private sector; External sector statistics; Credit; Stress testing; Global; South Asia
Cover IMF Working Papers
Financial Development, Exchange Rate Fluctuations and Debt Dollarization: A Firm-Level Evidence
Minsuk Kim
This paper examines how financial development influences the debt dollarization of nonfinancial firms in a sample of emerging market economies (EMEs). The macroeconomic channels are identified from an optimal portfolio allocation model and assessed empirically using the accounting information of nonfinancial firms from 21 EMEs during 2009–2017. The results show that financial development, measured by the private credit-to-GDP ratio, mainly reduces the influence of exchange rate volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent.
Keywords:
WP; debt ratio; exchange rate volatility; foreign currency; explanatory variable; Dollarization; Financial Development; Original Sin; dollar debt ratio; nonfinancial firm; sample firm; balance sheet currency exposure; Exchange rates; Currencies; Depreciation; Financial sector development; Exchange rate risk; Asia and Pacific; Global; Central and Eastern Europe; East Asia; Central Asia
Cover IMF Staff Country Reports
Nepal: 2018 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Nepal
International Monetary Fund. Asia and Pacific Dept
This Article IV Consultation highlights that following a prolonged period of tepid growth, economic activity in Nepal has picked up, reflecting cyclical factors and some structural improvements, especially in electricity supply. Discussions focused on policies needed to stem rising balance of payments pressures, safeguard financial stability, and structural reforms to ensure high, sustainable and inclusive growth. Continued improvements in revenue performance are seen to be important to maintain a strong fiscal position and meet capital spending needs. The IMF staff welcomed the authorities’ efforts to increase domestic revenue mobilization. The authorities broadly agreed with the IMF staff’s assessment and fiscal policy advice. The authorities noted that the transition to fiscal federalism and the pickup of reconstruction. Progress has been made with putting in place a fiscal federal framework but more needs to be done to ensure sustainability, make budgets more realistic and spending more efficient, and build implementation capacity.
Keywords:
ISCR; CR; government; GDP; deficit; Nepal; headline inflation; credit policy; private sector credit; widening current account deficit; IMF Debt Sustainability Analysis; Nepalese authorities; Nepali authorities; Credit; Stress testing
Cover IMF Staff Country Reports
India: Financial Sector Assessment Program-Detailed Assessment of Observance of the Basel Core Principles for Effective Banking Supervision
International Monetary Fund. Monetary and Capital Markets Department
This report evaluates the Observance of the Basel Core Principles for Effective Banking Supervision in India. It highlights that the supervision and regulation by the Reserve Bank of India remain strong and have improved in recent years. A key achievement is implementation of a risk-based supervisory approach that uses a complex supervisory assessment framework to guide the intensity of supervisory actions and the allocation of supervisory resources. Also, most of the Basel III framework has been implemented and cooperation arrangements, both domestically and cross-border, are now firmly in place. The system-wide asset quality review and the strengthening of prudential regulations in 2015 testify to the authorities’ commitment to transparency and a more accurate recognition of banking risks.
Keywords:
ISCR; CR; risk management; state bank; central bank; correspondent bank; senior management; credit risk; risk profile; internal audit; Market risk; Operational risk; Credit risk; Stress testing; Bank supervision; Global
Cover IMF Working Papers
Variance Decomposition Networks: Potential Pitfalls and a Simple Solution
Mr. Jorge A Chan-Lau
Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 – 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.
Keywords:
WP; insurance company; life insurance; SHINKONG insurance co Ltd; networks; interconnectedness; systemic risk; regularization techniques; global financial system; variance decomposition; VAR; state bank; partial correlation; BEJNG Co.; SCOR SE; Wells fargo; casualty company Ltd; Erie indemnity Co; Insurance companies; Insurance; Vector autoregression; Commercial banks; Africa; Global; Asia and Pacific