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01995cas a2200265 a 4500 |
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|c 5.00 USD
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|z 9781455226054
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Schmieder, Christian.
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|a Next Generation Balance Sheet Stress Testing /
|c Christian Schmieder, Maher Hasan, Claus Puhr.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2011.
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| 300 |
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|a 1 online resource (42 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Hasan, Maher.
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|a Puhr, Claus.
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|a IMF Working Papers; Working Paper ;
|v No. 2011/083
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2011/083/001.2011.issue-083-en.xml
|z IMF e-Library
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