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New Zealand Banks’ Vulnerabilities and Capital Adequacy
Jang, B.; Kataoka, Masahiko - International Monetary Fund (IMF) - 2013
The paper finds that, given New Zealand’s conservative approach in implementing the Basel II framework, New Zealand banks’ headline capital ratios underestimate their capital strength. A comparison with Canadian, UK and Australian banks highlights the impact of New Zealand’s...
Persistent link: https://www.econbiz.de/10011142166
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Cyclical default and recovery in stress testing loan losses
Jokivuolle, Esa; Virén, Matti - In: Journal of Financial Stability 9 (2013) 1, pp. 139-149
-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their … to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time … counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method …
Persistent link: https://www.econbiz.de/10010636145
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Financial Soundness Indicators; Analytical Aspects and Country Practices
International Monetary Fund (IMF); International … - 2002
The financial turmoil of the late 1990s prompted a broad search for tools and techniques for detecting and preventing financial crises, and more recent episodes of instability have high lighted the importance of continuous monitoring of financial systems as a tool for preventing crises. This...
Persistent link: https://www.econbiz.de/10005590915
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New Zealand; Selected Issues
International Monetary Fund (IMF); International … - 2009
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011244786
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Global Housing Cycles
Igan, Deniz; Loungani, Prakash - International Monetary Fund (IMF) - 2012
Housing cycles and their impact on the financial system and the macroeconomy have become the center of attention following the global financial crisis. This paper documents the characteristics of housing cycles in a large set of countries, and examines the determinants of house price movements....
Persistent link: https://www.econbiz.de/10010790415
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Italy; Detailed Assessment of Compliance with the Basel Core Principles for Effective Banking Supervision
International Monetary Fund (IMF); International … - 2004
This paper reviews findings of the Detailed Assessment of Italy’s Compliance with the Basel Core Principles for Effective Banking Supervision. The Italian banking system seems to exhibit a high degree of resilience to possible macroeconomic shocks, as supported by the evolution of some...
Persistent link: https://www.econbiz.de/10005591359
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Republic of Slovenia; Financial System Stability Assessment Update, including Reports on the Observance of Standards and Codes on the following topics: Banking Supervision and Insu...
International Monetary Fund (IMF); International … - 2004
This paper presents a Financial System Stability Assessment Update for Slovenia, including Reports on the Observance of Standards and Codes on Banking Supervision and Insurance Supervision. The Slovenian financial system appears sound overall but faces new challenges and risks with European...
Persistent link: https://www.econbiz.de/10005599018
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Measuring Integrated Market and Credit Risks in Bank Portfolios; An Application to a Set of Hypothetical Banks Operation in South Africa
Papapanagiotou, Panagiotis; Barnhill, Theodore M.; … - International Monetary Fund (IMF) - 2000
The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the...
Persistent link: https://www.econbiz.de/10005605406
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Russian Federation; Technical Note on Stress Testing of the Banking Sector
International Monetary Fund (IMF); International … - 2011
This technical note focuses on the stress testing exercise in 2010 for the financial sector assessment program based on the existing approaches of the Central Bank of Russia, as well as a separate bottom-up exercise. The tests covered broad ranges of risk factors. The single factor tests...
Persistent link: https://www.econbiz.de/10011242570
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Sri Lanka; Financial System Stability Assessment: Update, including Reports on the Observance of Standards and Codes on the following topics: Banking Supervision and Payment System...
International Monetary Fund (IMF); International … - 2007
This paper presents an update to the Financial System Stability Assessment on Sri Lanka. The paper discusses that despite a challenging macroeconomic environment characterized by a high fiscal deficit, inflationary pressures, and a widening current account, near-term risks to the financial...
Persistent link: https://www.econbiz.de/10011243201