People's Republic of China - Hong Kong Special Administrative Region : financial sector assessment program ; stress testing the banking sector ; technical note

Online-Ressource (126 S.)

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IMF country report. - Washington, DC : IMF, ZDB-ID 2390611-X. - Vol. 14/210

IMF Staff Country Reports ; v.Country Report No. 14/210

Description based upon print version of record

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Cover; CONTENTS; GLOSSARY; EXECUTIVE SUMMARY; INTRODUCTION; A. Background and Objective; FIGURES; 1. Macroprudential Stress Tests of Banking Sector; 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; BOX; 1. Overview of the Systemic Contingent Claims Approach Framework for Stress Testing and the Implementation in the Context of Hong Kong SAR; TABLES; 1. Risk Assessment Matrix

2. Stress Test Matrix (STeM) for the Banking Sector--Liquidity3. Stress Test Matrix (STeM) for the Banking Sector--Solvency; 4. Financial Soundness Indicators of the Banking Sector, 2007-13; 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 Test11. 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; 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 Trends8. 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 Ratio16. Solvency Stress Test (IMF Top-down Approach)-Risk Drivers; 17. Systemic Contingent Claims Approach-Distribution of Market-Implied Individual Expected Losses (Historical and Forecasted); ANNEX; Guidelines for the Bottom-Up Solvency Stress Test--Banking; APPENDICES; I. Timeline for Completion of Solvency BU Stress; II. Key Bottom-up Solvency Stress Test Parameters; III. Overview of Stress Test Scenarios; IV. Estimated Asset Swap Rate Curve; V. Possible Satellite Model Specification

VI. Concentration Impact on RWAs under Stress

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