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Maldives : Financial Sector Assessment Program-Technical Note on Bank Stress Testing and Climate Risk Analysis
International Monetary Fund / Monetary and Capital … - 2024
stress test results broadly corroborated the identified vulnerabilities and quantified them. The climate risk analysis … well capitalized, although capital ratios are biased upward by large government paper holdings with zero risk weights. The … results of the solvency stress test corroborate that banks are less vulnerable to credit risk than they are to the impact of a …
Persistent link: https://www.econbiz.de/10015058739
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Bank Stress Tests : An Active Treatment or a Placebo?
Gounopoulos, Dimitrios - 2018
We empirically examine the quality of accounting information that authorities utilise when conducting bank stress tests and provide evidence on how this information links to the outcome of these tests. Based on a unique dataset of tested and non-tested banks from 27 European countries, we...
Persistent link: https://www.econbiz.de/10012935105
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Szenarioanalysen und Stresstests in der Bank- und Versicherungspraxis : regulatorische Anforderungen, Umsetzung, Steuerung
Gruber, Walter (ed.); Martin, Marcus R. W. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008651356
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10011627053
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Philippines: Financial Sector Assessment Program-Technical Note on Bank Stress Test for Climate Change Risks
International Monetary Fund / Monetary and Capital … - 2022
other hand, exposures to transition risk are concentrated in the coal-based power generation sector and the government …
Persistent link: https://www.econbiz.de/10015060388
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Supervisory bank risk early warning modeling: an examiner's first line of defense
Henderson, Christopher C.; Jia, Shaohui; Mattioli, Charles - In: The journal of credit risk : published quarterly by … 16 (2020) 3, pp. 75-100
Persistent link: https://www.econbiz.de/10012421203
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Information Value in EU-Wide Bank Stress Test
Dermine, Jean - 2020
The paper starts with an evaluation of the banks' solvency information disclosed in the 2018 and 2016 EU-wide stress tests, asking do they add value to the information available in the bank capital ratios observed at the start of the stress exercise? It argues that information from...
Persistent link: https://www.econbiz.de/10012843606
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Assessing the financial and informational role of supervisory stress tests : EU-wide 2018 stress test vis-à-vis EU-wide 2021 stress test
Karakostas, Dimitrios; Tsakalos, Ioannis; Fassas, Athanasios - In: Journal of financial regulation and compliance 31 (2023) 4, pp. 397-419
Persistent link: https://www.econbiz.de/10014334447
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Macroprudential policies and climate risks
Grünewald, Seraina Neva - 2023
It has become widely acknowledged that the looming climate crisis and the necessary transition to a low-carbon economy can and will be financially material for financial institutions. Accordingly, microprudential supervisors have started including climate-related financial risks in their daily...
Persistent link: https://www.econbiz.de/10014263182
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A framework for macroprudential stress testing
Morell, Joe; Rice, Jonathan; Shaw, Frances - 2022
Persistent link: https://www.econbiz.de/10013536459