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Elekdag, Selim - 2024

Motivated by its rapid growth, this paper investigates how FinTech activities influence risk taking by financial intermediaries (FIs). In this context, this paper revisits an ongoing debate on the impact of competition on financial stability: on one side, it is argued that greater competition...

Persistent link: https://www.econbiz.de/10015058735

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP).

Avesani, Renzo G - 2006

Intro -- Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT...

Persistent link: https://www.econbiz.de/10012690978

A new heuristic measure of fragility and tail risks : application to stress testing

Taleb, Nassim Nicholas; Canetti, Elie; Kinda, Tidiane; … - 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/10009621630

Need for "Un-consolidating" Consolidated Banks' Stress Tests.

Cerutti, Eugenio - 2012

The recent crisis has spurred the use of stress tests as a (crisis) management and early warning tool. However, a weakness is that they omit potential risks embedded in the banking groups' geographical structures by assuming that capital and liquidity are available wherever they are needed...

Persistent link: https://www.econbiz.de/10012690155

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

Hallegatte, Stephane - 2022

Bank stress tests of climate change risks are relatively new, but are rapidly proliferating. The IMF and World Bank staff collaborated to develop an experimental macro scenario stress testing approach to examine physical risks for banks by building a dynamic stochastic general equilibrium model...

Persistent link: https://www.econbiz.de/10015060165

New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket

Garcia Pascual, Antonio - 2006

Intro -- Contents -- I. INTRODUCTION -- II. DESCRIPTION OF THE INDICATOR -- III. MODEL DESCRIPTION -- IV. DATA DESCRIPTION -- V. FACTOR ANALYSIS: ESTIMATION RESULTS -- VI. COMPUTATION OF THE PROBABILITIES OF DEFAULT -- VII. SENSITIVITY ANALYSIS -- VIII. STRESS TESTING -- IX. CONCLUDING REMARKS...

Persistent link: https://www.econbiz.de/10012691123

Fintech Payments in Public Financial Management: Benefits and Risks

Uña, Gerardo - 2023

Fintech payments leverage large digital platforms to fill gaps in the traditional payment system. They have made great strides in increasing access to payment services in several countries around the globe. At the same time, like any innovation, the new payment models are exposed to risks in...

Persistent link: https://www.econbiz.de/10015059723

Dynamic Depositor Discipline in U.S. Banks

McDill, Kathleen; Maechler, Andrea M. - International Monetary Fund (IMF) - 2003

This paper investigates the presence of depositor discipline in the U.S. banking sector. We test whether depositors penalize (discipline) banks for poor performance by withdrawing their uninsured deposits. While focusing on the movements in uninsured deposits, we also account for the possibility...

Persistent link: https://www.econbiz.de/10005248320

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Kupiec, Paul H. - International Monetary Fund (IMF) - 2002

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...

Persistent link: https://www.econbiz.de/10005769175

Did the Basel Accord Cause a Credit Slowdown in Latin America?

Cosimano, Thomas F.; Chami, Ralph; Barajas, Adolfo - International Monetary Fund (IMF) - 2005

the adoption of the Basel Accord by Latin American and Caribbean countries was responsible for the serious slowdowns in … Latin America increased after Basel. Consequently, Basel did not seem to lead to an overall credit decline. However, we do … Basel II might cause greater procyclicality of credit. …

Persistent link: https://www.econbiz.de/10005248279

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