Cover IMF Staff Country Reports
Denmark: Financial Sector Assessment Program: Technical Note: Stress Testing
Author:
International Monetary Fund
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Series:
IMF Staff Country Reports
Volume/Issue:
Volume 2007: Issue 125
Language:
English
Publication Date:
23 Mar 2007
DOI:
https://doi.org/10.5089/9781451811223.002
ISBN:
9781451811223
ISSN:
1934-7685
Pages:
44
Keywords:
ISCR; CR; loan portfolio; staff estimation; bank concentration; portfolio credit risk stress tests; model validation; foreign exchange; yield curve; capital base; unexpected loss; banks funding; credit risk measurement; Credit risk; Stress testing; Loans; Market risk; Credit; Europe
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This technical note describes the stress testing exercises carried out for the Danish commercial banking system and the insurance sector. The tests were conducted as part of the Financial Sector Assessment Program for Denmark and were developed in collaboration with the Danish Financial Supervisory Agency (DFSA) and Danmarks Nationalbank (DNB). Two approaches—bottom-up and top-down—were employed in the analysis. Results of the stress test show that under changing macroeconomic conditions, credit risk could materialize, causing a substantial deterioration in banks’ results.
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Cover IMF Staff Country Reports
IMF Staff Country Reports
ISSN:
1934-7685
Publisher:
International Monetary Fund
Volume 2007: Issue 125