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
Resource Information
The item Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (43 pages)
- 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
- Isbn
- 9781462335428
- Label
- Next generation balance sheet stress testing
- Title
- Next generation balance sheet stress testing
- Statement of responsibility
- Christian Schmieder, Claus Puhr, and Maher Hasan
- 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
- 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
- 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
- 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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.sandiego.edu/portal/Next-generation-balance-sheet-stress-testing/uA2eci-fzJU/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.sandiego.edu/portal/Next-generation-balance-sheet-stress-testing/uA2eci-fzJU/">Next generation balance sheet stress testing, Christian Schmieder, Claus Puhr, and Maher Hasan</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.sandiego.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.sandiego.edu/">University of San Diego Libraries</a></span></span></span></span></div>
