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Bank Stress Testing of Physical Risks Under Climate Change Macro Scenarios : Typhoon Risks to the Philippines

Hallegatte, S.; Lipinsky, Fabian; Morales, Paola; Oura, … - 2022

Bank stress tests of climate change risks are relatively new, but are rapidly proliferating. The IMF and World Bank … substantially with climate change. However, bank capital declines only modestly unless the event is compounded with other disasters …

Persistent link: https://www.econbiz.de/10013492150

Market-Based Structural Top-Down Stress Tests of the Banking System

Chan-Lau, Jorge A. - 2013

presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank …

Persistent link: https://www.econbiz.de/10013082485

Market-Based Structural Top-Down Stress Tests of the Banking System

Chan-Lau, Jorge A. - 2013

presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank …

Persistent link: https://www.econbiz.de/10013083401

When Banks Punch Back : Macrofinancial Feedback Loops in Stress Tests

Catalán, Mario - 2020

contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The … heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects …

Persistent link: https://www.econbiz.de/10012829700

HEAT! A Bank Health Assessment Tool

Kwoh, Sarah - 2013

inform policy decisions. This paper proposes a simple measure of bank soundness, the Bank Health Index (BHI), to facilitate … for a first-pass identification of bank soundness conditions. Automated spreadsheet templates of the bank Health …

Persistent link: https://www.econbiz.de/10013076322

Sever, Can; Perez-Archila, Manuel - 2022

bank- and firm-level data. Focusing on the deterioration of firms’ balance sheets and the exposure of banks to different …

Persistent link: https://www.econbiz.de/10013306729

Grippa, Pierpaolo; Mann, Samuel - 2021

This paper explores three possible transmission channels for transition risk shocks to the financial system in Norway. First, we estimate the direct firm-level impact of a substantial increase in domestic carbon prices under severe assumptions. Second, we map the impact of a drastic increase in...

Persistent link: https://www.econbiz.de/10013252050

Liquidity and Transparency in Bank Risk Management

Ratnovski, Lev - 2013

bank may choose insufficient liquidity buffers and transparency. The regulatory response is constained: while liquidity … increase bank incentives to adopt transparency …

Persistent link: https://www.econbiz.de/10013086330

Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses

Alla, Zineddine - 2018

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...

Persistent link: https://www.econbiz.de/10012907939

Real and Financial Vulnerabilities from Crossborder Banking Linkages

Kim, Kyunghun - 2014

This paper looks at the vulnerabilities stemming from banking sector linkages between countries and their macroeconomic effects. It finds that credit risks (from a banking system's claims on other countries) and funding risks (from a banking system's liabilities to another) have declined over...

Persistent link: https://www.econbiz.de/10013048565