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A New Heuristic Measure of Fragility and Tail Risks; Application to Stress Testing

Schmieder, Christian; Kinda, Tidiane; Taleb, Nassim N.; … - International Monetary Fund (IMF) - 2012

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...

Persistent link: https://www.econbiz.de/10011242421

The Impact of Legislationon Credit Risk; Comparative Evidence From the United States, the United Kingdom and Germany

Schmieder, Philipp; Schmieder, Christian - International Monetary Fund (IMF) - 2011

This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest...

Persistent link: https://www.econbiz.de/10008876595

Next Generation Balance Sheet Stress Testing

Schmieder, Christian; Hasan, Maher; Puhr, Claus - International Monetary Fund (IMF) - 2011

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main...

Persistent link: https://www.econbiz.de/10009019581

Bankers without Borders? Implications of Ring-Fencing for European Cross-Border Banks

Makarova, Yulia; Ilyina, Anna; Schmieder, Christian; … - International Monetary Fund (IMF) - 2010

cross-border banks. Using a sample of 25 large European banking groups with subsidiaries in Central, Eastern and Southern … Europe (CESE), we analyze the impact of a CESE credit shock on the capital buffers needed by the sample banking groups under … different forms of ring-fencing. Our simulations show that under stricter forms of ring-fencing, sample banking groups have …

Persistent link: https://www.econbiz.de/10008727810