Format:
Online-Ressource (612 p)
ISBN:
9781475551297
Content:
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion 〈a href=""http://www.elibrary.imf.org/page/stress-test-toolkit""〉toolkit〈/a〉, which makes available some of the macros and program codes used in the models
Note:
Cover; Contents; Foreword; Acknowledgments; Abbreviations; Contributing Authors; 1. Stress Testing at the International Monetary Fund: Methods and Models; PART I: THE ACCOUNTING-BASED APPROACH; A. THE BALANCE SHEET-BASED APPROACH; 2. Introduction to the Balance Sheet-Based Approach to Stress Testing; 3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data; 4. Into the Great Unknown: Stress Testing with Weak Data; 5. Next-Generation Applied Solvency Stress Testing; 6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example
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7. Next-Generation Systemwide Liquidity Stress Testing8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign, and Interbank Risks; 9. Modeling Correlated Systemic Bank Liquidity Risks; 10. Review and Implementation of Credit Risk Models; 11. Bankers without Borders? Implications of Ring-Fencing for Eu ro pe an Cross-Border Banks; 12. Conducting Stress Tests of De. ned Bene. t Pension Plans; B. THE NETWORK ANALYSIS APPROACH; 13. Introduction to the Network Analysis Approach to Stress Testing
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14. Cross-Border Financial Surveillance: A Network Perspective15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems; PART II: THE MARKET PRICE BASED APPROACH; A. THE EQUITY INDICATORS BASED APPROACH; 16. Introduction to the Equity Indicators-Based Approach to Stress Testing; 17. The Global Financial Crisis and Its Impact on the Chilean Banking System; 18. Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal; B. THE EXTREME VALUE THEORY APPROACH
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19. Introduction to the Extreme Value Theory Approach to Stress Testing20. External Linkages and Contagion Risk in Irish Banks; 21. Identifying Spillover Risk in the International Banking System: An Extreme Value Theory Approach; C. THE CONTINGENT CLAIMS ANALYSIS APPROACH; 22. Introduction to the Contingent Claims Analysis Approach for Stress Testing; 23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom and Risks for the Financial Sector; 24. Measuring and Analyzing Sovereign Risk with Contingent Claims
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25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System26. Systemic Contingent Claims Analysis; 27. Measuring Systemic Risk-Adjusted Liquidity; PART III: THE MACROFINANCIAL APPROACH; 28. Introduction to the Macro-Financial Approach to Stress Testing; 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector; 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing; 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments
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32. Banking Stability Measures
Additional Edition:
9781484368589
Additional Edition:
Erscheint auch als Druck-Ausgabe A Guide to IMF Stress Testing: Methods and Models
Language:
English
Keywords:
Internationaler Währungsfonds
;
Stresstest
URL:
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