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The Resource Next Generation Balance Sheet Stress Testing, Christian Schmieder

Next Generation Balance Sheet Stress Testing, Christian Schmieder

Label
Next Generation Balance Sheet Stress Testing
Title
Next Generation Balance Sheet Stress Testing
Statement of responsibility
Christian Schmieder
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihak (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Schmieder, Christian
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
S365 2011 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Hasan, Maher
  • Puhr, Claus
  • Schmieder, Christian
Series statement
IMF Working Paper
Series volume
WP/11/83
http://library.link/vocab/subjectName
  • Banking Systems
  • Banking
  • Basel II
  • Basel III
  • Capital Requirements
  • Financial Institutions and Services: General
  • Chile
  • Germany
  • Hungary
  • Italy
  • United States
Label
Next Generation Balance Sheet Stress Testing, Christian Schmieder
Instantiates
Publication
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
Control code
imfWPIEA2011083
Dimensions
unknown
Extent
1 online resource (42 pages)
Form of item
online
Isbn
9781455226054
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781455226054.001
Specific material designation
remote
System control number
(IMF)WPIEA2011083
Label
Next Generation Balance Sheet Stress Testing, Christian Schmieder
Publication
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
Control code
imfWPIEA2011083
Dimensions
unknown
Extent
1 online resource (42 pages)
Form of item
online
Isbn
9781455226054
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781455226054.001
Specific material designation
remote
System control number
(IMF)WPIEA2011083

Library Locations

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      5998 Alcalá Park, San Diego, CA, 92110-2492, US
      32.771471 -117.187496
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