| Description |
1 online resource (34 pages) : color illustrations |
| Series |
IMF working paper ; WP/14/103 |
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IMF working paper ; WP/14/103.
|
| Contents |
Cover; Contents; Abbreviations and Acronyms; I. Introduction; Figures; 1. Stylised Design of Stress Tests; II. Financial Spillovers from the Euro periphery to the Rest of the World; A. Panel Approach; B. DCC GARCH Approach; 1. Estimated GARCH Correlations GIIPS with European Countries; 2. Estimated GARCH Correlations GIIPS with Non-European Countries; 3. Estimated GARCH Correlations GIIPS with EM Countries and Korea; 4. Estimated GARCH Correlations GIIPS with Germany and the U.S:; III. Liquidity and Solvency Stress Testing; Box |
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1. Integrating Liqudity and Solvency Risks and Bank Reaction in Stress TestsIV. Integration of the Financial Spillover Analysis with the Stress Testing Approach; 5. Overview of the concept to simulate stress at the bank level; 6. Outcome of solvency tests; V. Conclusion; 7. Outcome of liquidity tests; Tables; I.1. Spread Panel Regressions, 2006Q1-2012Q2 (Quarterly data); Appendixes; I. Outcome of Panel Regressions Assessing Spillover Risks; I.2. Spread Panel Regressions, 2008Q1-2012Q2 (Quarterly data); I.3. Main Explanatory Variables; II. Outline of the DCC GARCH Method |
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III. Benchmark Stress ScenariosIV. Illustrative Example for the Solvency Test; V. Illustrative Example for Liquidity; References |
| Summary |
"One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the "traditional" design of macro-economic stress tests. Specifically, we examine spillover effects observed during the financial crisis and simulate their impact on banks' liquidity and capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in terms of liquidity and solvency"--Abstract |
| Notes |
"Monetary and Capital Markets Department"--Page 2 of pdf |
|
"June 2014"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed June 23, 2014) |
| Subject |
Banks and banking -- Evaluation
|
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Financial crises -- Prevention
|
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Liquidity (Economics)
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Capital.
|
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International finance -- Evaluation
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Banks and banking -- Evaluation
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Capital
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Financial crises -- Prevention
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Liquidity (Economics)
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| Form |
Electronic book
|
| Author |
Salman, Ferhan, author.
|
|
Schmieder, Christian, author.
|
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
|
| ISBN |
9781498358453 |
|
1498358454 |
|
