UID:
edoccha_9958090345602883
Umfang:
1 online resource (40 p.)
ISBN:
1-4623-9188-5
,
1-4527-9593-2
,
1-280-89733-3
,
9786613738646
,
1-4527-0049-4
Serie:
IMF Staff Country Reports
Inhalt:
This technical note focuses on the Austrian banking system that exhibits considerable resilience against shocks determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with the larger banks show that their modeling capacities vary.
Anmerkung:
Description based upon print version of record.
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Cover; Contents; Glossary; Executive Summary; I. Introduction; II. Coverage; A. Institutions; B. Risks; III. Methodology; A. The BU Approach; B. The TD Approach; C. Methodological Caveats; IV. Shocks and Short-Term Vulnerabilities; A. Macroeconomic Scenarios; Tables; 1. Real GDP and Profit Development Under the CESE Shock; 2. Real GDP, Profit, and Interest Rate Developments Under the Global Downturn Shock; 3. Credit Risk Indicators; B. Market-Risk Shocks; C. Indirect Credit Risk Induced by Foreign Exchange Rate Risk; 4. Market-Risk Scenarios; D. Liquidity Risk; V. Results; A. Overview
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B. The CESE ScenarioFigures; 1. Additional Credit Losses Under CESE Scenario; 5. Average Impact of the CESE Scenario on the Six Largest Banks; C. The Global Downturn Scenario; 6. Average Domestic Impact of the Global Downturn Scenario on the Six Largest Banks; D. Market Risks; E. Indirect Credit Risk Induced by Foreign Exchange Rate Risk; 7. Market Risk Scenarios; F. Liquidity Risk; G. Qualitative Assessment of Risk Management; 8. Liquidity Ratios Stress Test Results; VI. Recommendations; Appendixes; I. Modeling Credit-Risk Measures from Macro Factors
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II. Modeling Indirect Foreign Exchange RiskAppendix Table; 9. Results of Regression of Δ[sup(1)]LLPR on Δ[sup(1)]GDP; References
,
English
Weitere Ausg.:
ISBN 1-4518-0243-9
Sprache:
Englisch