Format:
Online-Ressource (34 p)
Edition:
Online-Ausg.
ISBN:
1475502222
,
9781475502220
Series Statement:
IMF Working Papers Working Paper No. 12/53
Content:
This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default
Additional Edition:
Erscheint auch als Druck-Ausgabe Maino, Rodolfo From Stress to Costress: Stress Testing Interconnected Banking Systems Washington, D.C. : International Monetary Fund, 2012 ISBN 9781475502220
Language:
English
DOI:
10.5089/9781475502220.001
