From Stress to Costress
Author | : Mr.Rodolfo Maino |
Publisher | : International Monetary Fund |
Total Pages | : 61 |
Release | : 2012-02-01 |
ISBN-10 | : 9781475576566 |
ISBN-13 | : 1475576560 |
Rating | : 4/5 (560 Downloads) |
Download or read book From Stress to Costress written by Mr.Rodolfo Maino and published by International Monetary Fund. This book was released on 2012-02-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.