Stressing to Breaking Point : Interpreting Stress Test Results.
Title:
Stressing to Breaking Point : Interpreting Stress Test Results.
Author:
Worrell, DeLisle.
ISBN:
9781451914597
Personal Author:
Physical Description:
1 online resource (20 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Credit Risk Assessment -- III. Exchange Rate Risk -- IV. Interest Rate Changes -- V. Credit Growth -- VI. Combined Scenario -- VII. Capital Inflow and Reversal -- VIII. Summary -- References -- Tables -- 1. Nonperforming Loan Migration Matrix -- 2. Parameters of Combined Scenarios -- 3. Parameters for the Capital Flow Scenario -- Figures -- 1. The Capital Adequacy Ratio After Losses on Mortgages -- 2. The Capital Adequacy Ratio After Losses on Mortgages and Export and Personal loans -- 3. The Capital Adequacy Ratio with Different Migration Patterns -- 4. The Effect of Exchange Rate Changes on the Capital Adequacy Ratio. -- 5. Banking System Capital Adequacy Ratio, Devaluation Effects -- 6. Total Devaluation Effects: Different Losses on Foreign Currency Loans -- 7. The Capital Adequacy Ratio After Interest Rate Shocks -- 8. The Capital Adequacy Ratio with Various Rates of Credit Growth -- 9. The Capital Adequacy Ratio with Various Loan Migration Rates -- 10. Banks with Different Initial Nonperforming Loans -- 11. Credit Growth, Devaluation, Nonperforming Loan Increase, and Interest Rate Fall -- 12. Capital Inflow and Reversal -- Appendix Tables -- 4. Capital Adequacy -- 5. Loan Distribution -- 6. Loan Quality -- 7. Foreign Assets and Liabilities.
Abstract:
This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of increasing intensity, up to the point where regulatory norms are breached, or banks become insolvent. This approach offers useful insight and guidance for regulatory policy and intervention, using existing methodology and data. The illustrations presented in this paper are a small sample of the wide variety of shocks, scenarios, and assumptions to which this approach may be applied.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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