08238oam 22015494 450 991081442920332120240405174412.01-4983-8182-01-4755-5129-0(CKB)3710000000335962(EBL)1911897(SSID)ssj0001423571(PQKBManifestationID)11821619(PQKBTitleCode)TC0001423571(PQKBWorkID)11433399(PQKB)10796467(MiAaPQ)EBC1911897(Au-PeEL)EBL1911897(CaPaEBR)ebr11002622(CaONFJC)MIL732278(OCoLC)899942055(IMF)SOASTEA(EXLCZ)99371000000033596220020129d2014 uf 0engurcnu||||||||txtccrA Guide to IMF Stress Testing : Methods and Models /Li Ong1st ed.Washington, D.C. :International Monetary Fund,2014.1 online resource (610 p.)Description based upon print version of record.1-4843-6858-4 1-336-00996-9 Includes bibliographical references at the end of each chapters and index.Cover; Contents; Foreword; Acknowledgments; Abbreviations; Contributing Authors; 1. Stress Testing at the International Monetary Fund: Methods and Models; PART I: THE ACCOUNTING-BASED APPROACH; A. THE BALANCE SHEET-BASED APPROACH; 2. Introduction to the Balance Sheet-Based Approach to Stress Testing; 3. Stress Tester: A Toolkit for Bank-by-Bank Analysis with Accounting Data; 4. Into the Great Unknown: Stress Testing with Weak Data; 5. Next-Generation Applied Solvency Stress Testing; 6. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example7. Next-Generation System wide Liquidity Stress Testing 8. Systemic Bank Risk in Brazil: A Comprehensive Simulation of Correlated Market, Credit, Sovereign, and Interbank Risks; 9. Modeling Correlated Systemic Bank Liquidity Risks; 10. Review and Implementation of Credit Risk Models; 11. Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks; 12. Conducting Stress Tests of Dened Benet Pension Plans; B. THE NETWORK ANALYSIS APPROACH; 13. Introduction to the Network Analysis Approach to Stress Testing14. Cross-Border Financial Surveillance: A Network Perspective 15. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems; PART II: THE MARKET PRICE BASED APPROACH; A. THE EQUITY INDICATORS BASED APPROACH; 16. Introduction to the Equity Indicators-Based Approach to Stress Testing; 17. The Global Financial Crisis and Its Impact on the Chilean Banking System; 18. Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal; B. THE EXTREME VALUE THEORY APPROACH19. Introduction to the Extreme Value Theory Approach to Stress Testing 20. External Linkages and Contagion Risk in Irish Banks; 21. Identifying Spillover Risk in the International Banking System: An Extreme Value Theory Approach; C. THE CONTINGENT CLAIMS ANALYSIS APPROACH; 22. Introduction to the Contingent Claims Analysis Approach for Stress Testing; 23. Vulnerabilities of Household and Corporate Balance Sheets in the United Kingdom and Risks for the Financial Sector; 24. Measuring and Analyzing Sovereign Risk with Contingent Claims25. Factor Model for Stress Testing with a Contingent Claims Model of the Chilean Banking System 26. Systemic Contingent Claims Analysis; 27. Measuring Systemic Risk-Adjusted Liquidity; PART III: THE MACROFINANCIAL APPROACH; 28. Introduction to the Macro-Financial Approach to Stress Testing; 29. A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector; 30. A Practical Example of the Nonperforming Loans Projection Approach to Stress Testing; 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments32. Banking Stability MeasuresThe IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).BooksEfficient market theoryRiskEconometric modelsRisk assessmentEconometric modelsAccountingimfBanks and BankingimfFinance: GeneralimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfFinancial Risk ManagementimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancial Institutions and Services: Government Policy and RegulationimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfPublic AdministrationimfPublic Sector Accounting and AuditsimfBankingimfFinanceimfFinancial services law & regulationimfMonetary economicsimfFinancial reporting, financial statementsimfStress testingimfLoansimfCredit riskimfNonperforming loansimfFinancial sector policy and analysisimfFinancial institutionsimfFinancial regulation and supervisionimfCommercial banksimfBanks and bankingimfFinancial risk managementimfCreditimfFinance, PublicimfUnited KingdomimfEfficient market theory.RiskEconometric models.Risk assessmentEconometric models.AccountingBanks and BankingFinance: GeneralMoney and Monetary PolicyIndustries: Financial ServicesFinancial Risk ManagementBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancial Institutions and Services: Government Policy and RegulationFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralPublic AdministrationPublic Sector Accounting and AuditsBankingFinanceFinancial services law & regulationMonetary economicsFinancial reporting, financial statementsStress testingLoansCredit riskNonperforming loansFinancial sector policy and analysisFinancial institutionsFinancial regulation and supervisionCommercial banksBanks and bankingFinancial risk managementCreditFinance, Public332Ong Li1660797International Monetary Fund,DcWaIMFBOOK9910814429203321A Guide to IMF Stress Testing4099523UNINA