Front Matter Page

Monetary and Capital Markets Departments

Contents

• I. Introduction

• II. Methodology and Sources

• III. Typical Banking Crises and Descriptive Rules of Thumb

  • A. Literature on Banking Crises

  • B. Historical Evidence on Banking Crises

  • C. Descriptive Rules of Thumb

• IV. Rules of Thumb for Satellite Models

  • A. Explanatory Variables and Estimation Approach

  • B. Rules of Thumb for Satellite Models

• V. Worked Examples

  • A. Bank Characteristics

• VI. Conclusion

• Appendix 1. Data Summary

• Appendix 2. Supplementary Evidence

• References

• Tables

• 1. Čihák and Schaeck Evidence on Typical Evolution of NPL Stock Ratios Around a Crisis

• 2. Typical Credit Loss Levels under Different Levels of Shocks

• 3. Stress Levels of Default Rates and LGDs for ACs

• 4. Rules of Thumb for the GDP Sensitivity of Key Bank Solvency Variables

• 5. Historical Evidence on Typical Evolution of Default Dates Around a Crisis

• 6. Rules of Thumb for the GDP Growth Sensitivity of Credit Risk Parameters

• 7. Features of Banks Used in the Worked Examples

• 8. Simulated Evolution of RWAs Relative to Total Assets During Stress Periods

• 9. Simulated Evolution of Net Income during Stress Periods

• 10. Overview of Main Rules of Thumb

• Figures

• 1. Čihák and Schaeck Evidence on Typical Evolution of NPL Ratios Around a Crisis

• 2. Historical Annual Default Rate for All Rating Grades

• 3. Historical Corporate Bond Default Rates (1866–2008)

• 4. Median Loss Rates by Country (1996-2011)

• 5. Typical Evolution of Credit Loss Rates under Stress

• 6. Evolution of LGDs through the cycle

• 7. Link Between LGDs and Default Rates

• 8. Typical Evolution of Pre-impairment Income Under Stress

• 9. Evolution of Pre-impairment Income for Worst Performing Banks under Stress

• 10. Standard Deviation Across Crisis Periods of Median Income and Expense Components

• 11. Trading Income under Stress, by Quantile

• 12. Typical Evolution of Credit Growth for ACs and EMs under Stress

• 13. Historical Evidence on Typical Evolution of Default Rates Around a Crisis

• 14a. Comparison Between IRB Asset Correlation and Empirical Asset Correlations for Corporate Debt

• 14b. Resulting Risk Weights

• 15. Evolution of Capital Ratios during Stress Periods

• 16. Evolution of Leverage Ratios during Stress Periods

• 17. Evolution of Capital Ratios: Actual vs. Predicted for an AC Bank

• 18. Capital Ratios with Point-In-Time vs. Through-The-Cycle RWAs

• Boxes

• 1. Proxies for Credit Loss Rates

• 2. How Likely is it that Large Trading Losses Coincide with Large Credit Losses?

• 3. How do IRB Correlations Compare with Empirical Correlations?

• 4. Rules of Thumb Applied to Recent Stress Tests

• Appendixes

• 1. Data Summary

• 2. Supplementary Evidence

• Appendix Tables

• 1 Overview of Bankscope Data

• 2. Overview of Top 10 Countries by Category for Cleaned Bankscope Data

• 3. Overview of Bankscope Data, by Stress Level

• 4. Evolution of Solvency Parameters around Crisis Dates

• 5. Components of Pre-impairment Income and Expenses

• Appendix Figures

• 1 Overview of Raw Bankscope Sample Size by Year

• 2. Asset Correlations

• 3. Asset Correlations and GDP Growth Rates