Market-Based Structural Top-Down Stress Tests of the Banking System
Author:   Jorge A Chan-Lau
Publisher:   International Monetary Fund
ISBN:  

9781299591141


Pages:   19
Publication Date:   01 January 2013
Format:   Electronic book text
Availability:   Available To Order   Availability explained
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Market-Based Structural Top-Down Stress Tests of the Banking System


Overview

Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks' trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

Full Product Details

Author:   Jorge A Chan-Lau
Publisher:   International Monetary Fund
Imprint:   International Monetary Fund
ISBN:  

9781299591141


ISBN 10:   1299591140
Pages:   19
Publication Date:   01 January 2013
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

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