Coverart for item
The Resource Austria : publication of financial sector assessment program documentation technical note on stress testing the banking sector

Austria : publication of financial sector assessment program documentation technical note on stress testing the banking sector

Label
Austria : publication of financial sector assessment program documentation technical note on stress testing the banking sector
Title
Austria
Title remainder
publication of financial sector assessment program documentation technical note on stress testing the banking sector
Subject
Genre
Language
eng
Summary
This Technical Note discusses key results of stress testing of the banking sector in Austria. The Austrian banking system is in a recovery phase following the 2008-2009 global financial crisis. Stress testing results suggest that Austrian banks, on aggregate, have sufficient capital buffers to withstand severe but plausible shocks from adverse macroeconomic developments. Under the most severe scenario, the estimated total capital shortfall amounts to 1 percent of GDP. The results of the solvency stress test reflect comfortable initial capital buffers built in response to the crisis, in part because of de-risking of balance sheets, and in part owing to banks' recapitalization efforts through increased retained earnings
Member of
Cataloging source
E7B
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
Illustrations
illustrations
Index
no index present
LC call number
HF1359
LC item number
.A97 2014 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF Country Reports
Series volume
14/16
http://library.link/vocab/subjectName
  • International economic relations
  • Macroeconomics
  • Business ethics
  • Business ethics
  • International economic relations
  • Macroeconomics
Label
Austria : publication of financial sector assessment program documentation technical note on stress testing the banking sector
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; CONTENTS; Glossary; EXECUTIVE SUMMARY; TABLES; 1. Austria FSAP Update: Main Recommendations on Stress Testing; INTRODUCTION; FIGURES; 1. Profit Breakdown for the Austrian Banking System; 2. Baseline Growth WEO Forecast as of October 2012; 2. Financial System Structure; KEY RISK FACTORS; 3. Key Component of the FSAP Stress-Test; SOLVENCY STRESS TESTS; A. Macro Scenarios; B. Modeling Approach; BOXES; 1. Overview of the OeNB's Credit Risk Model for the Austrian Economy; C. Sensitivity Analysis; 4. Breakdown of Bank Lending by Borrower; 5. FX Scenario for the Swiss Franc
  • 2. Indirect Credit Risk from FCLs in Austria3. Applied Risk Weights under the IRB Approach; D. Solvency Stress Test Results; 6. Drivers of Changes in CT1 for the Whole Banking System; LIQUIDITY STRESS TESTS; 7. Sensitivity Analysis for the Solvency Stress Test; 4. Haircuts for Unencumbered Eligible Collateral; CONTAGION ANALYSIS; A. The Funding/Network Analysis; 3. Overview of Furfine's Network Model; B. The CoVaR Analysis; CONCLUSIONS AND RECOMMENDATIONS; 8. Macroeconomic Assumptions for real GDP growth (yoy) in Austria and CESEE; 9. Solvency Stress Test Results-Distribution of Core Tier I
  • 10. Solvency Stress Test Results-Distribution of Tier I11. Solvency Stress Test Results-Distribution of Total Capital Ratios; 12. Solvency Stress Test Results-CT1 Capital Buckets; 13. Solvency Stress Test Results-Tier I Capital Buckets; 14. Solvency Stress Test Results-Total Capital Ratio Buckets; 15. Weighted-Average Core Tier I Capital Ratios; 16. Weighted-Average Tier I Capital Ratios; 17. Weighted-Average Total Capital Ratios; 5. Market Risk Parameters; 6. Liquidity Stress Test Medium Scenario Parameters; ANNEXES; I. Risk Assessment Matrix (RAM)
  • II. Identification of Key Risk Factors: A Market-Based ApproachANNEX TABLES; AII. 1. Variable Definitions for Econometric Analysis on Risk Factors; AII. 2. Econometric Results of Risk Factors for Solvency Stress Test; III. Stress Test Matrix (STEM) for the Banking Sector; IV. Sensitivity Analysis of Repayment Vehicle Foreign Currency Loans; AIV. 1. Stress Test of RPV Yield and CHF Shock by Product Category; V. Sovereign Risk Calibration; AV. 1. International Bonds for Calculation of Sovereign Haircuts; AV. 2. Sovereign Haircuts by Selected Countries of Exposure
  • VI. COVAR Approach to Assess Contagion4. Overview of the CoVaR Methodology; AVI. 1. CoVaR List of European Banking Institutions; AVI. 2. CoVaR: List of European Banks Active in CESEE; ANNEX FIGURES; AVI. 1. Foreign Banks Active in CESEE: CESEE Subsidiaries, 2011; AVI. 3. CoVaR: Summary Statistics of State Variables; AVI. 4. Determinants of Tail Banking System Returns; AVI. 5. CoVaR: Contribution to Systemic Risk in European Banks Active in CESEE; AVI. 6. Inward Spillovers from CESEE Peer Banks; AVI. 2. CoVaR: Individual vs. Systemic Risk; REFERENCES
Control code
874180610
Dimensions
unknown
Extent
1 online resource (83 pages)
Form of item
online
Isbn
9781484377680
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations (some color), tables
Specific material designation
remote
System control number
(OCoLC)874180610
Label
Austria : publication of financial sector assessment program documentation technical note on stress testing the banking sector
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; CONTENTS; Glossary; EXECUTIVE SUMMARY; TABLES; 1. Austria FSAP Update: Main Recommendations on Stress Testing; INTRODUCTION; FIGURES; 1. Profit Breakdown for the Austrian Banking System; 2. Baseline Growth WEO Forecast as of October 2012; 2. Financial System Structure; KEY RISK FACTORS; 3. Key Component of the FSAP Stress-Test; SOLVENCY STRESS TESTS; A. Macro Scenarios; B. Modeling Approach; BOXES; 1. Overview of the OeNB's Credit Risk Model for the Austrian Economy; C. Sensitivity Analysis; 4. Breakdown of Bank Lending by Borrower; 5. FX Scenario for the Swiss Franc
  • 2. Indirect Credit Risk from FCLs in Austria3. Applied Risk Weights under the IRB Approach; D. Solvency Stress Test Results; 6. Drivers of Changes in CT1 for the Whole Banking System; LIQUIDITY STRESS TESTS; 7. Sensitivity Analysis for the Solvency Stress Test; 4. Haircuts for Unencumbered Eligible Collateral; CONTAGION ANALYSIS; A. The Funding/Network Analysis; 3. Overview of Furfine's Network Model; B. The CoVaR Analysis; CONCLUSIONS AND RECOMMENDATIONS; 8. Macroeconomic Assumptions for real GDP growth (yoy) in Austria and CESEE; 9. Solvency Stress Test Results-Distribution of Core Tier I
  • 10. Solvency Stress Test Results-Distribution of Tier I11. Solvency Stress Test Results-Distribution of Total Capital Ratios; 12. Solvency Stress Test Results-CT1 Capital Buckets; 13. Solvency Stress Test Results-Tier I Capital Buckets; 14. Solvency Stress Test Results-Total Capital Ratio Buckets; 15. Weighted-Average Core Tier I Capital Ratios; 16. Weighted-Average Tier I Capital Ratios; 17. Weighted-Average Total Capital Ratios; 5. Market Risk Parameters; 6. Liquidity Stress Test Medium Scenario Parameters; ANNEXES; I. Risk Assessment Matrix (RAM)
  • II. Identification of Key Risk Factors: A Market-Based ApproachANNEX TABLES; AII. 1. Variable Definitions for Econometric Analysis on Risk Factors; AII. 2. Econometric Results of Risk Factors for Solvency Stress Test; III. Stress Test Matrix (STEM) for the Banking Sector; IV. Sensitivity Analysis of Repayment Vehicle Foreign Currency Loans; AIV. 1. Stress Test of RPV Yield and CHF Shock by Product Category; V. Sovereign Risk Calibration; AV. 1. International Bonds for Calculation of Sovereign Haircuts; AV. 2. Sovereign Haircuts by Selected Countries of Exposure
  • VI. COVAR Approach to Assess Contagion4. Overview of the CoVaR Methodology; AVI. 1. CoVaR List of European Banking Institutions; AVI. 2. CoVaR: List of European Banks Active in CESEE; ANNEX FIGURES; AVI. 1. Foreign Banks Active in CESEE: CESEE Subsidiaries, 2011; AVI. 3. CoVaR: Summary Statistics of State Variables; AVI. 4. Determinants of Tail Banking System Returns; AVI. 5. CoVaR: Contribution to Systemic Risk in European Banks Active in CESEE; AVI. 6. Inward Spillovers from CESEE Peer Banks; AVI. 2. CoVaR: Individual vs. Systemic Risk; REFERENCES
Control code
874180610
Dimensions
unknown
Extent
1 online resource (83 pages)
Form of item
online
Isbn
9781484377680
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations (some color), tables
Specific material designation
remote
System control number
(OCoLC)874180610

Library Locations

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