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01 February 2012

IMF published a working paper on stress testing interconnected banking systems


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「ストレスから共同ストレスへ:相互連関性の高い銀行システムに対するストレステストの実施」と題されたこの報告書は、システミックリスクを分析評価するための統合的な枠組みを提示している。


The framework models banks’ capital asset ratios as a function of future losses and credit growth, using a generalised 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 co-movement 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.

An integrated framework for systemic risk analysis needs to consider risks from both the macro-economic environment and banks’ interconnectedness. This paper uses a general setup to present a simple framework to assess the resilience of a banking system to aggregate and idiosyncratic shocks, advancing a toolbox that can be used in financial sector risk assessments. In this framework:

 

  • banks’ CARs are modelled in a format that considers the simultaneous impact of future credit losses, credit growth, and the credit spread;
  • the analysis focuses on economic measures of solvency and uses a generalised method of moments to calibrate the shocks to NPLs and credit growth;
  • uncertainty about banks’ future losses is modelled in CreditRisk+, which relies on analytical techniques to find the banks’ credit portfolio loss distributions;
  • a simple systemic risk indicator is proposed to measure tail risk comovements among the banks in the system; and
  • quantile regressions and CreditRisk+  are used to model banks’ conditional VaRs.

Full paper



© International Monetary Fund


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