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The Resource Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan

Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan

Label
Next generation balance sheet stress testing
Title
Next generation balance sheet stress testing
Statement of responsibility
Christian Schmieder, Claus Puhr, and Maher Hasan
Creator
Contributor
Author
Issuing body
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
DJB
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Schmieder, Christian
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
  • HD61
  • HG3881.5.I58
LC item number
  • .S36 2011 ONLINE
  • W67 No. 11/83 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Hasan, Maher
  • Puhr, Claus
  • International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/11/83
http://library.link/vocab/subjectName
  • Banks and banking
  • Financial risk management
  • Banks and banking
  • Financial risk management
Label
Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Related Literature; III. Methodology; 1. Financial Risk Drivers; A. Stress Test Metric: Capitalization Under Stress; 2. Income Under Stress; B. Income; C. Credit Losses; 1. Link Between LGD and PD, Illustrative Example for Hungary; D. Risk-Weighted Assets; 2. Incremental Impact of an Increase of PDs on RWAs; 3. Illustrative Example for the Scaling Factor (Advanced Economy); 3. Incremental Impact of an Increase of Asset Correlations on RWAs; E. Basel III; 5. Overview of the Basel III Phase-in Agreements
  • II. Derivation of Macro ScenariosIII. Corporate Recovery vs. Default Rates; References; Footnotes
  • IV. Stress Testing FrameworkA. Overview; 6. The Modular Design of the Stress Testing Framework; B. How Does the Framework Actually Work?; 7. Stress Testing Framework-Conceptual overview; 1. How to do a Meaningful Stress Test as a non-IRB Bank?; 4. Assumptions for Risk Parameters; 5. Other Assumptions; 8. Screenshot of Bank Specific Results 32; V. Stylized Numerical Example; 6. Numerical example-Stress Test Assumptions; 7. Stylized Numerical example-Outcome; VI. Conclusion; 1.1 Adoption of Foundation and Advanced IRB; 1.2 Supervisory stage of Basel II implementation
Control code
746495291
Extent
1 online resource (43 pages)
Form of item
online
Isbn
9781462335428
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Specific material designation
remote
System control number
  • imfWPIEA2011083
  • (IMF)WPIEA2011083
  • (OCoLC)746495291
Label
Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Related Literature; III. Methodology; 1. Financial Risk Drivers; A. Stress Test Metric: Capitalization Under Stress; 2. Income Under Stress; B. Income; C. Credit Losses; 1. Link Between LGD and PD, Illustrative Example for Hungary; D. Risk-Weighted Assets; 2. Incremental Impact of an Increase of PDs on RWAs; 3. Illustrative Example for the Scaling Factor (Advanced Economy); 3. Incremental Impact of an Increase of Asset Correlations on RWAs; E. Basel III; 5. Overview of the Basel III Phase-in Agreements
  • II. Derivation of Macro ScenariosIII. Corporate Recovery vs. Default Rates; References; Footnotes
  • IV. Stress Testing FrameworkA. Overview; 6. The Modular Design of the Stress Testing Framework; B. How Does the Framework Actually Work?; 7. Stress Testing Framework-Conceptual overview; 1. How to do a Meaningful Stress Test as a non-IRB Bank?; 4. Assumptions for Risk Parameters; 5. Other Assumptions; 8. Screenshot of Bank Specific Results 32; V. Stylized Numerical Example; 6. Numerical example-Stress Test Assumptions; 7. Stylized Numerical example-Outcome; VI. Conclusion; 1.1 Adoption of Foundation and Advanced IRB; 1.2 Supervisory stage of Basel II implementation
Control code
746495291
Extent
1 online resource (43 pages)
Form of item
online
Isbn
9781462335428
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Specific material designation
remote
System control number
  • imfWPIEA2011083
  • (IMF)WPIEA2011083
  • (OCoLC)746495291

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