Sweden : Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector.

This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset values...

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Bibliographic Details
Corporate Author: International Monetary Fund
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2011.
Series:IMF Staff Country Reports; Country Report ; No. 2011/286
Online Access:Full text available on IMF
Description
Summary:This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze systemic risk under stress scenarios.
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Physical Description:1 online resource (33 pages)
Format:Mode of access: Internet
ISSN:1934-7685
Access:Electronic access restricted to authorized BRAC University faculty, staff and students