LEADER 08238oam 22015494 450 001 9910814429203321 005 20240405174412.0 010 $a1-4983-8182-0 010 $a1-4755-5129-0 035 $a(CKB)3710000000335962 035 $a(EBL)1911897 035 $a(SSID)ssj0001423571 035 $a(PQKBManifestationID)11821619 035 $a(PQKBTitleCode)TC0001423571 035 $a(PQKBWorkID)11433399 035 $a(PQKB)10796467 035 $a(MiAaPQ)EBC1911897 035 $a(Au-PeEL)EBL1911897 035 $a(CaPaEBR)ebr11002622 035 $a(CaONFJC)MIL732278 035 $a(OCoLC)899942055 035 $a(IMF)SOASTEA 035 $a(EXLCZ)993710000000335962 100 $a20020129d2014 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA Guide to IMF Stress Testing : $eMethods and Models /$fLi Ong 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2014. 215 $a1 online resource (610 p.) 300 $aDescription based upon print version of record. 311 $a1-4843-6858-4 311 $a1-336-00996-9 320 $aIncludes bibliographical references at the end of each chapters and index. 327 $aCover; 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 Example 327 $a7. 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 Testing 327 $a14. 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 APPROACH 327 $a19. 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 Claims 327 $a25. 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 Environments 327 $a32. Banking Stability Measures 330 3 $aThe IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit). 410 0$aBooks 606 $aEfficient market theory 606 $aRisk$xEconometric models 606 $aRisk assessment$xEconometric models 606 $aAccounting$2imf 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aIndustries: Financial Services$2imf 606 $aFinancial Risk Management$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPublic Administration$2imf 606 $aPublic Sector Accounting and Audits$2imf 606 $aBanking$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aMonetary economics$2imf 606 $aFinancial reporting, financial statements$2imf 606 $aStress testing$2imf 606 $aLoans$2imf 606 $aCredit risk$2imf 606 $aNonperforming loans$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial institutions$2imf 606 $aFinancial regulation and supervision$2imf 606 $aCommercial banks$2imf 606 $aBanks and banking$2imf 606 $aFinancial risk management$2imf 606 $aCredit$2imf 606 $aFinance, Public$2imf 607 $aUnited Kingdom$2imf 615 0$aEfficient market theory. 615 0$aRisk$xEconometric models. 615 0$aRisk assessment$xEconometric models. 615 7$aAccounting 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aMoney and Monetary Policy 615 7$aIndustries: Financial Services 615 7$aFinancial Risk Management 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPublic Administration 615 7$aPublic Sector Accounting and Audits 615 7$aBanking 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aMonetary economics 615 7$aFinancial reporting, financial statements 615 7$aStress testing 615 7$aLoans 615 7$aCredit risk 615 7$aNonperforming loans 615 7$aFinancial sector policy and analysis 615 7$aFinancial institutions 615 7$aFinancial regulation and supervision 615 7$aCommercial banks 615 7$aBanks and banking 615 7$aFinancial risk management 615 7$aCredit 615 7$aFinance, Public 676 $a332 700 $aOng$b Li$01660797 712 02$aInternational Monetary Fund, 801 0$bDcWaIMF 906 $aBOOK 912 $a9910814429203321 996 $aA Guide to IMF Stress Testing$94099523 997 $aUNINA