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|c 5.00 USD
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|z 9781475502220
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Maino, Rodolfo.
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|a From Stress to Costress :
|b Stress Testing Interconnected Banking Systems /
|c Rodolfo Maino, Kalin Tintchev.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2012.
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|a 1 online resource (34 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 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.
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|a Mode of access: Internet
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|a Tintchev, Kalin.
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|a IMF Working Papers; Working Paper ;
|v No. 2012/053
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2012/053/001.2012.issue-053-en.xml
|z IMF e-Library
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