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Displaying results 1 to 25 of 46.

  1. Mortgages
    estimating default correlation and forecasting default risk
    Author: Neumann, Tobias
    Published: February 2018
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Series: Staff working paper / Bank of England ; no. 708
    Subjects: Mortgages; bank regulation; credit risk; default correlation; state space model; Basel Committee; stress testing; macroprudential policy
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Capital regulation and product market outcomes
    Author: Sen, Ishita; Humphry, David
    Published: March 2018
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Series: Staff working paper / Bank of England ; no. 715
    Subjects: Risk-based capital regulation; stress testing; life insurance; trends in asset management
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  3. Models of financial stability and their application in stress tests
    Author: Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thomas
    Published: August 20, 2017
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is... more

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    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach typically uses stylized behavioral assumptions and relies more on simulation. This makes it possible to include more actors and more realistic institutional constraints, and to explain phenomena that are driven by out of equilibrium behavior, such as clustered volatility and fat tails. We argue that traditional equilibrium models and heterogeneous agent-based models are complements rather than substitutes, and review how the interaction between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress tests. Finally, we discuss future directions. These include a better understanding of dynamics on networks and interacting channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical applications to risk monitoring using models estimated with the massive data bases currently being assembled by the leading central banks

     
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    Series: Working papers on finance ; no. 2018, 5
    Subjects: stress testing; systemic risk; contagion; leverage cycles; multi-layered networks; heterogeneous agent models; financial systems; financial stability; computational economics; complex systems; banks; non-banks; microprudential stress tests; macroprudential stress tests
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
    Notes:

    Review Chapter for: Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
  4. Contagion in derivatives markets
    Author: Paddrik, Mark; Rajan, Sriram; Young, H. Peyton
    Published: November 1, 2017
    Publisher:  University of Oxford, Department of Economics, Oxford

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    Series: Department of Economics discussion paper series / University of Oxford ; number 839 (November 2017)
    Subjects: Financial networks; contagion; stress testing; credit default swaps
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  5. Macrofinancial stress testing on Australian banks
    Author: Garvin, Nicholas; Kurian, Samuel; Major, Mike; Norman, David W.
    Published: September 2022
    Publisher:  Reserve Bank of Australia, [Sydney]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Series: Research discussion paper / Reserve Bank of Australia ; RDP 2022, 03
    Subjects: banks; stress testing; Australia
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  6. Supervisory stringency, payout restrictions, and bank equity prices
    Author: Marsh, W. Blake
    Published: 2022
    Publisher:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    Series: KcFED research working papers ; RWP 22, 01 (January 2022)
    Subjects: bank payout policy; stress testing; bank supervision
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  7. Corporate sector resilience in India in the wake of the COVID-19 shock
    Author: Górnicka, Lucyna; Ogawa, Sumiko; Xu, TengTeng
    Published: November 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    To assess the resilience of India's corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a differential impact across sectors, with the most severe... more

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    To assess the resilience of India's corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a differential impact across sectors, with the most severe impact on contact-intensive services, construction, and manufacturing sectors, and micro, small, and medium enterprises. On policy impact, the results highlight that temporary policy measures have been particularly effective in supporting firm liquidity, but the impact on solvency is less pronounced. On financial sector balance sheets, we found that public sector banks are more vulnerable to stress in the corporate sector, partly due to their weaker starting capital positions. When considering forward-looking multiperiod growth scenarios, we find that the overall corporate performance will depend on the speed of recovery. A slower pace of recovery could lead to persistently high levels of debt at risk, especially in some services and industrial sectors

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781589065871
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    Series: IMF working paper ; WP/21, 278
    Subjects: corporate sector vulnerabilities; stress testing; COVID-19 pandemic; Computational Techniques; Corporate Finance and Governance
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  8. Systemic analysis framework for the impact of economic and financial risks
    Author: Pérez Montes, Carlos; Galán, Jorge E.; Bru, María; Gálvez, Julio; García, Alberto; González, Carlos; Hurtado, Samuel; Lavín, Nadia; Pérez Asenjo, Eduardo; Roibás, Irene
    Published: 2023
    Publisher:  Banco de España, Madrid

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    Series: Documentos ocasionales / Banco de España ; no. 2311
    Subjects: financial markets; financial stability; macroeconomic forecasting models; macro-financial models; macro-financial risk; stress testing
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  9. Approaches to climate risk analysis in FSAPs
    Author: Adrian, Tobias; Grippa, Pierpaolo; Groß, Marco; Haksar, Vikram; Krznar, Ivo; Lamichhane, Sujan; Lepore, Caterina; Lipinsky, Fabian; Oura, Hiroko; Panagiotopoulos, Apostolos
    Published: 2022
    Publisher:  International Monetary Fund, Washington, DC

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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9798400213014; 9798400212970
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    Series: Staff climate notes ; 2022, 005
    Subjects: Climate change; physical risk; transition risk; risk analysis; stress testing; Financial Sector Assessment Program
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  10. The global bank stress test
    Author: Ding, Xiaodan; Groß, Marco; Krznar, Ivo; Laliotis, Dimitrios; Lipinsky, Fabian; Lukyantsau, Pavel; Tressel, Thierry
    Published: 2022 APR
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

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    Source: Staatsbibliothek zu Berlin
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    Series: Departmental paper / International Monetary Fund ; DP/2022, 009
    Subjects: Covid-19 pandemic; bank stress test; financial sector vulnerabilities; stress testing; bank stress tests; IMF Library; Global Bank stress test; GST methodology; bilateral work; Stress testing; Value-added tax; COVID-19; Capital adequacy requirements; Commercial banks; Global
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  11. Climate-related stress testing
    transition risk in Colombia
    Author: Sever, Can; Perez-Archila, Manuel
    Published: Nov 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper builds a framework to quantify the financial stability implications of climate-related transition risk in Colombia. We explore risks imposed on the banking system based on scenarios of an increase in the domestic carbon tax by using bank-... more

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    This paper builds a framework to quantify the financial stability implications of climate-related transition risk in Colombia. We explore risks imposed on the banking system based on scenarios of an increase in the domestic carbon tax by using bank- and firm-level data. Focusing on the deterioration of firms' balance sheets and the exposure of banks to different sectors, we assess the extent to which such policy shock would transmit from nonfinancial firms to the banking system. We observe that sectors are affected unevenly by a higher carbon tax. Agriculture, manufacturing, electricity, wholesale and retail trade, and transportation sectors appear to be the most important in the transmission of the risk to the banking system. Results also suggest that a large increase in the carbon tax can generate significant but likely manageable financial stability risks, and that a gradual increase in the carbon tax to meet a higher target over several years could be preferable in terms of financial risks. A gradual increase would also have the benefit of allowing for a smoother adjustment to higher carbon tax for stakeholders

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
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    ISBN: 9781513599205
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    Series: Working paper / International Monetary Fund ; WP/21, 261
    Subjects: Climate crisis; climate change; transition risk; carbon emission; carbon tax; green economy; environmental taxes; banking stress; stress testing; financial stability; Colombia; Banks; Depository Institutions; Financial Risk and Risk Management; Financing Policy; Micro Finance Institutions; Mortgages
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  12. Corporate sector resilience in India in the wake of the COVID-19 shock
    Author: Górnicka, Lucyna; Ogawa, Sumiko; Xu, TengTeng
    Published: November 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    To assess the resilience of India's corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a differential impact across sectors, with the most severe... more

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    To assess the resilience of India's corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a differential impact across sectors, with the most severe impact on contact-intensive services, construction, and manufacturing sectors, and micro, small, and medium enterprises. On policy impact, the results highlight that temporary policy measures have been particularly effective in supporting firm liquidity, but the impact on solvency is less pronounced. On financial sector balance sheets, we found that public sector banks are more vulnerable to stress in the corporate sector, partly due to their weaker starting capital positions. When considering forward-looking multiperiod growth scenarios, we find that the overall corporate performance will depend on the speed of recovery. A slower pace of recovery could lead to persistently high levels of debt at risk, especially in some services and industrial sectors

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
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    ISBN: 9781589065871
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    Series: IMF working paper ; WP/21, 278
    Subjects: corporate sector vulnerabilities; stress testing; COVID-19 pandemic; Computational Techniques; Corporate Finance and Governance
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  13. Macroprudential stress-testing practices of central banks in Central and South Eastern Europe
    an overview and challenges ahead
    Author: Melecký, Martin; Podpiera, Anca Maria
    Published: 2010
    Publisher:  World Bank, Europe and Central Asia Region, Private & Financial Sectors Development Sector Unit, Washington, DC

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 2 (5434)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Policy research working paper ; 5434
    Subjects: Geldpolitik; Mitteleuropa; Südosteuropa; stress testing
    Scope: Online-Ressource (34 S.), graph. Darst.
    Notes:

    Literaturverz. S. 26 - 28
  14. Germany
    technical note on stress testing
    Published: 2011
    Publisher:  Internat. Monetary Fund, Washington, DC

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    Series: IMF country report ; 11/371
    Subjects: Bank; Bankinsolvenz; Deutschland; stress testing
    Scope: Online-Ressource (PDF-Datei: 65 S., 1,386 KB), graph. Darst.
  15. United Kingdom
    stress testing the banking sector technical note
    Published: 2011
    Publisher:  Internat. Monetary Fund, Washington, DC

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    Series: IMF country report ; 11/227
    Subjects: Bank; Großbritannien; stress testing
    Scope: Online-Ressource (PDF-Datei: 125 S., 4,219 KB), graph. Darst.
  16. Exploring the benefits of stress testing
    the case opf Trinidad and Tobago
    Published: 2011
    Publisher:  [s.n.], Port of Spain

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: Spanish
    Media type: Book
    Format: Print
    Series: Research papers / Central Bank of Tobago ; 2.2011,1
    Subjects: Bank; Trinidad und Tobago; stress testing
    Notes:

    Parallel als Online-Ausg. erschienen
  17. From stress to costress
    stress testing interconnected banking systems
    Author: Maino, Rodolfo; Tintchev, Kalin
    Published: 2012
    Publisher:  Internat. Monetary Fund, Washington, DC

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Format: Online
    Series: IMF working paper ; 12/53
    Subjects: Kreditrisiko; stress testing
    Scope: Online-Ressource (PDF-Datei: 33 S., 1,906 KB), graph. Darst.
  18. Nigeria
    publication of financial sector assessment program documentation ; technical note on stress testing
    Published: 2013
    Publisher:  IMF, Washington, DC

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    Staats- und Universitätsbibliothek Bremen
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    Format: Online
    Series: IMF country report ; 13/141
    Subjects: Finanzsektor; Nigeria; stress testing
    Scope: Online-Ressource (39 S.), graph. Darst.
  19. The decline of solvency contagion risk
    Author: Bardoscia, Marco; Barucca, Paolo; Brinley Codd, Adam; Hill, John
    Published: June 2017
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 662
    Subjects: Financial networks; systemic risk; financial contagion; macroprudential policy; stress testing
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  20. How safe are central counterparties in derivatives markets?
    Author: Paddrik, Mark; Young, H. Peyton
    Published: [2017]
    Publisher:  University of Oxford, Department of Economics, Oxford

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    Series: Department of Economics discussion paper series / University of Oxford ; number 826 (June 2017)
    Subjects: Credit default swaps; central counterparties; stress testing; systemic risk; financial networks
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  21. Contagion in the CDS market
    Author: Paddriky, Mark; Rajanz, Sriram; Young, H. Peyton
    Published: [2017]
    Publisher:  University of Oxford, Department of Economics, Oxford

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Series: Department of Economics discussion paper series / University of Oxford ; number 821 (January 2017)
    Subjects: Credit default swaps; stress testing; systemic risk; financial networks
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  22. Measuring Capital at Risk in the UK banking sector: a microstructural network approach
    Author: Covi, Giovanni; Brookes, James; Raja, Charumathi
    Published: May 2022
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 983
    Subjects: Financial network; systemic risk; stress testing; Covid-19 pandemic
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  23. The global bank stress test
    Author: Ding, Xiaodan; Groß, Marco; Krznar, Ivo; Laliotis, Dimitrios; Lipinsky, Fabian; Lukyantsau, Pavel; Tressel, Thierry
    Published: 2022 APR
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
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    Series: Departmental paper / International Monetary Fund ; DP/2022, 009
    Subjects: Covid-19 pandemic; bank stress test; financial sector vulnerabilities; stress testing; bank stress tests; IMF Library; Global Bank stress test; GST methodology; bilateral work; Stress testing; Value-added tax; COVID-19; Capital adequacy requirements; Commercial banks; Global
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  24. Approaches to climate risk analysis in FSAPs
    Author: Adrian, Tobias; Grippa, Pierpaolo; Groß, Marco; Haksar, Vikram; Krznar, Ivo; Lamichhane, Sujan; Lepore, Caterina; Lipinsky, Fabian; Oura, Hiroko; Panagiotopoulos, Apostolos
    Published: 2022
    Publisher:  International Monetary Fund, Washington, DC

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9798400213014; 9798400212970
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    Series: Staff climate notes ; 2022, 005
    Subjects: Climate change; physical risk; transition risk; risk analysis; stress testing; Financial Sector Assessment Program
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  25. Climate-related stress testing
    transition risk in Colombia
    Author: Sever, Can; Perez-Archila, Manuel
    Published: Nov 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper builds a framework to quantify the financial stability implications of climate-related transition risk in Colombia. We explore risks imposed on the banking system based on scenarios of an increase in the domestic carbon tax by using bank-... more

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    This paper builds a framework to quantify the financial stability implications of climate-related transition risk in Colombia. We explore risks imposed on the banking system based on scenarios of an increase in the domestic carbon tax by using bank- and firm-level data. Focusing on the deterioration of firms' balance sheets and the exposure of banks to different sectors, we assess the extent to which such policy shock would transmit from nonfinancial firms to the banking system. We observe that sectors are affected unevenly by a higher carbon tax. Agriculture, manufacturing, electricity, wholesale and retail trade, and transportation sectors appear to be the most important in the transmission of the risk to the banking system. Results also suggest that a large increase in the carbon tax can generate significant but likely manageable financial stability risks, and that a gradual increase in the carbon tax to meet a higher target over several years could be preferable in terms of financial risks. A gradual increase would also have the benefit of allowing for a smoother adjustment to higher carbon tax for stakeholders

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513599205
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    Series: Working paper / International Monetary Fund ; WP/21, 261
    Subjects: Climate crisis; climate change; transition risk; carbon emission; carbon tax; green economy; environmental taxes; banking stress; stress testing; financial stability; Colombia; Banks; Depository Institutions; Financial Risk and Risk Management; Financing Policy; Micro Finance Institutions; Mortgages
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen