08557oam 22014294 450 991079129760332120200520144314.01-4983-9416-71-4983-7779-31-4983-9217-2(CKB)2550000001345656(EBL)1770287(OCoLC)889674707(SSID)ssj0001398963(PQKBManifestationID)11908505(PQKBTitleCode)TC0001398963(PQKBWorkID)11447047(PQKB)10229883(MiAaPQ)EBC1770287(Au-PeEL)EBL1770287(CaPaEBR)ebr10913242(CaONFJC)MIL638362(NjHacI)992550000001345656(IMF)1HKGEE2014009(IMF)1HKGEA2014009(EXLCZ)99255000000134565620020129d2014 uf 0engurcnu||||||||txtccrPeople’s Republic of China–Hong Kong Special Administrative Region : Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical NoteWashington, D.C. :International Monetary Fund,2014.1 online resource (128 p.)IMF Staff Country ReportsDescription based upon print version of record.1-4983-2263-8 1-322-07111-X ""Cover""; ""CONTENTS""; ""GLOSSARY""; ""EXECUTIVE SUMMARY""; ""INTRODUCTION""; ""A. Background and Objective""; ""B. Synopsis""; ""SOLVENCY STRESS TESTS""; ""A. Summary of All Solvency Stress Tests""; ""B. Bottom-Up Solvency Stress Tests""; ""C. Top-Down Solvency Stress Tests""; ""D. Reconciliation of Solvency Stress Tests""; ""LIQUIDITY STRESS TESTS""; ""SUMMARY AND POLICY IMPLICATIONS""; ""REFERENCES""; ""BOX""; ""1. Overview of the Systemic Contingent Claims Approach Framework for Stress Testing and the Implementation in the Context of Hong Kong SAR""; ""FIGURES""""1. Macroprudential Stress Tests of Banking Sector""""2. Structural Features of Hong Kong Financial Sector""; ""3. Banking Sector Developments""; ""4. Banking Sector Soundness""; ""5. Banking Sector Performance""; ""6. Banking Sector Lending and Deposit Composition""; ""7. Banking Sector Lending and Deposit Trends""; ""8. Macroeconomic Assumptions under Different Stress Test Scenarios (1)""; ""9. Macroeconomic Assumptions under Different Stress Test Scenarios (2)""; ""10. Liquidity and Short-term Funding""; ""11. Top-down Liquidity Stress Test Results Implied Cash Flow Analysis""""12. Evolution of Aggregate Capital Ratios in Solvency Stress Tests (1)""""13.Evolution of Aggregate Capital Ratios in Solvency Stress Tests (2)""; ""14. Comparison of IMF Top-down Solvency Stress Test Results Baseline and Severe Adverse Scenario, Capital Adequacy Ratio (Total Capital)""; ""15. Comparison of IMF Top-down Solvency Stress Test Results Baseline and Severe Adverse Scenario, CET1 Ratio""; ""16. Solvency Stress Test (IMF Top-down Approach) Risk Drivers""""17. Systemic Contingent Claims Approach Distribution of Market-Implied Individual Expected Losses (Historical and Forecasted)""""TABLES""; ""1. Risk Assessment Matrix""; ""2. Stress Test Matrix (STeM) for the Banking Sector Liquidity""; ""3. Stress Test Matrix (STeM) for the Banking Sector Solvency""; ""4. Financial Soundness Indicators of the Banking Sector, 2007""; ""5. Economic Activity under Different Scenarios""; ""6. HKMA Solvency Top-down Stress Test-Detailed Assumptions (Scenario Analysis)""; ""7. Liquidity Stress Test Maturity Mismatch Analysis""""8. Systemic Contingent Claims Approach Comparison of Total Assets for Locally Incorporated Licensed Banks and Respective Listed Entities""""9. Overview of Sample Banks in the Solvency and Liquidity Stress Testing Exercise""; ""10. Overview of Risk Approach (Basel II) of Sample Banks in Top-down Solvency Stress Test""; ""11. Supervisory Stress Tests: Implied Cash Flow and Credit/Market Risk Linkages of Liquidity Conditions""; ""12. Basel III Liquidity Risk Framework: Standard Measures (LCR and NSFR)""; ""13. Summary of Satellite Model Estimation""""14. IMF Top-down Solvency Test: Descriptive Statistics/FSIs""This Technical Note on Stress Testing the Banking Supervision was prepared in the context of the Financial Sector Assessment Program (FSAP) for the People’s Republic of China–Hong Kong Special Administrative Region (HKSAR). Bank liquidity tests focus on sudden, sizable withdrawals of funding and the sufficiency of existing assets to withstand those shocks under stressed conditions. The stress test results confirm a high degree of resilience of the sector. This reflects the strength of the banks at the starting position, which reduces their fundamental vulnerability to shocks. Banks in HKSAR hold very high levels of capital, are very profitable, and have a low level of asset impairments amid stable funding profiles. The Hong Kong Monetary Authority is encouraged to continue its integration of risk-based supervision in the development of stress test scenarios for macroprudential policy and surveillance. Banking supervisors routinely conduct stress tests and, from time to time, modify relevant assumptions in order to support thematic reviews of identified vulnerabilities against emerging risks.IMF Staff Country Reports; Country Report ;No. 2014/210Economic developmentInternational financeBanks and BankingimfFinance: GeneralimfMoney and Monetary PolicyimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancial Institutions and Services: Government Policy and RegulationimfGeneral Financial Markets: Government Policy and RegulationimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfBankingimfFinanceimfFinancial services law & regulationimfMonetary economicsimfStress testingimfCommercial banksimfCapital adequacy requirementsimfBasel IIIimfFinancial sector policy and analysisimfCurrenciesimfMoneyimfFinancial institutionsimfSolvency stress testingimfFinancial regulation and supervisionimfBanks and bankingimfFinancial risk managementimfAsset requirementsimfState supervisionimfHong Kong Special Administrative Region, People's Republic of ChinaimfEconomic development.International finance.Banks and BankingFinance: GeneralMoney and Monetary PolicyBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancial Institutions and Services: Government Policy and RegulationGeneral Financial Markets: Government Policy and RegulationMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsBankingFinanceFinancial services law & regulationMonetary economicsStress testingCommercial banksCapital adequacy requirementsBasel IIIFinancial sector policy and analysisCurrenciesMoneyFinancial institutionsSolvency stress testingFinancial regulation and supervisionBanks and bankingFinancial risk managementAsset requirementsState supervision338.9DcWaIMFBOOK9910791297603321People’s Republic of China–Hong Kong Special Administrative Region3716324UNINA