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From Stress to CoStress: Stress Testing Interconnected Banking Systems

From Stress to CoStress: Stress Testing Interconnected Banking Systems by Rodolfo Maino
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This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized 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 comovement 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.
International Monetary Fund; February 2012
34 pages; ISBN 9781475576566
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Title: From Stress to CoStress: Stress Testing Interconnected Banking Systems
Author: Rodolfo Maino; Kalin Tintchev