Actions for From Stress to Costress [electronic resource]: Stress Testing Interconnected Banking Systems

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From Stress to Costress [electronic resource]: Stress Testing Interconnected Banking Systems

Author
Maino, Rodolfo
Published
Washington : International Monetary Fund Feb. 2012
Physical Description
57 p.
Additional Creators
Tintchev, Kalin
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Summary
Annotation 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.
Genre(s)
ISBN
9781475502220
1475502222 (Trade Paper)
View MARC record | catkey: 12543015