UID:
edocfu_9958069498002883
Format:
1 online resource (36 p.)
ISBN:
1-4755-8903-4
,
1-4755-7656-0
Series Statement:
IMF Working Papers
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.
Note:
Description based upon print version of record.
,
Cover; Contents; I. Introduction; II. Credit Risk Stress Testing; A. Related Literature; Figures; 1. Macro-Financial Stress Testing Framework; B. Theoretical Credit Risk Model; C. Empirical Credit Risk Model; D. Modeling Banks' Credit Portfolio Losses in CreditRisk+; Tables; 1. Macro Determinants of Credit Risk; E. Main Findings; Boxes; 1. CreditRisk+; 2. Summary Stress Test Results; 2. Slowdown Scenario: Average Portfolio Loss Distribution; III. Systemic Risk Stress Tests; A. Systemic Risk Drivers; B. Empirical Model; 3. Quantile Regression Lines; 2. Quantile Regression
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C. Systemic Risk ScenariosD. Main Findings; 4. Systemic Risk Scenarios; 3. Systemic Risk Scenarios; 4. Conditional Value-at-Risk to Capital; 5. CoVaR Network Structure; IV. Sensitivity Analysis; A. Shocks; B. Methodology and Assumptions; C. Main Findings; 5. Distribution of Stress Test Results; V. Conclusion; 6. Liquidity and Z-Score Stress Test Results; Appendixes; I. Default Risk Modeling in CreditRisk+; II. Quantile Regression; References
,
English
Additional Edition:
ISBN 1-4755-7591-2
Additional Edition:
ISBN 1-4755-0222-2
Language:
English
