Department, International Monetary Fund. Monetary and Capital Markets.
People's Republic of China–Hong Kong Special Administrative Region : Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note. - 1 online resource (128 pages) - IMF Staff Country Reports ; v.Country Report No. 14/210 . - IMF Staff Country Reports .
Cover -- CONTENTS -- GLOSSARY -- EXECUTIVE SUMMARY -- INTRODUCTION -- A. Background and Objective -- B. Synopsis -- SOLVENCY STRESS TESTS -- A. Summary of All Solvency Stress Tests -- B. Bottom-Up Solvency Stress Tests -- C. Top-Down Solvency Stress Tests -- D. Reconciliation of Solvency Stress Tests -- LIQUIDITY STRESS TESTS -- SUMMARY AND POLICY IMPLICATIONS -- REFERENCES -- BOX -- 1. Overview of the Systemic Contingent Claims Approach Framework for Stress Testing and the Implementation in the Context of Hong Kong SAR -- FIGURES -- 1. Macroprudential Stress Tests of Banking Sector -- 2. Structural Features of Hong Kong Financial Sector -- 3. Banking Sector Developments -- 4. Banking Sector Soundness -- 5. Banking Sector Performance -- 6. Banking Sector-Lending and Deposit Composition -- 7. Banking Sector-Lending and Deposit Trends -- 8. Macroeconomic Assumptions under Different Stress Test Scenarios (1) -- 9. Macroeconomic Assumptions under Different Stress Test Scenarios (2) -- 10. Liquidity and Short-term Funding -- 11. Top-down Liquidity Stress Test Results-Implied Cash Flow Analysis -- 12. Evolution of Aggregate Capital Ratios in Solvency Stress Tests (1) -- 13.Evolution of Aggregate Capital Ratios in Solvency Stress Tests (2) -- 14. Comparison of IMF Top-down Solvency Stress Test Results--Baseline and Severe Adverse Scenario, Capital Adequacy Ratio (Total Capital) -- 15. Comparison of IMF Top-down Solvency Stress Test Results--Baseline and Severe Adverse Scenario, CET1 Ratio -- 16. Solvency Stress Test (IMF Top-down Approach)-Risk Drivers -- 17. Systemic Contingent Claims Approach-Distribution of Market-Implied Individual Expected Losses (Historical and Forecasted) -- TABLES -- 1. Risk Assessment Matrix -- 2. Stress Test Matrix (STeM) for the Banking Sector--Liquidity -- 3. Stress Test Matrix (STeM) for the Banking Sector--Solvency. 4. Financial Soundness Indicators of the Banking Sector, 2007-13 -- 5. Economic Activity under Different Scenarios -- 6. HKMA Solvency Top-down Stress Test-Detailed Assumptions (Scenario Analysis) -- 7. Liquidity Stress Test-Maturity Mismatch Analysis -- 8. Systemic Contingent Claims Approach-Comparison of Total Assets for Locally Incorporated Licensed Banks and Respective Listed Entities -- 9. Overview of Sample Banks in the Solvency and Liquidity Stress Testing Exercise -- 10. Overview of Risk Approach (Basel II) of Sample Banks in Top-down Solvency Stress Test -- 11. Supervisory Stress Tests: Implied Cash Flow and Credit/Market Risk Linkages of Liquidity Conditions -- 12. Basel III Liquidity Risk Framework: Standard Measures (LCR and NSFR) -- 13. Summary of Satellite Model Estimation -- 14. IMF Top-down Solvency Test: Descriptive Statistics/FSIs -- APPENDICES -- I. Timeline for Completion of Solvency BU Stress -- II. Key Bottom-up Solvency Stress Test Parameters -- III. Overview of Stress Test Scenarios -- IV. Estimated Asset Swap Rate Curve -- V. Possible Satellite Model Specification -- VI. Concentration Impact on RWAs under Stress -- VII. Minimum Funding Cost: Empirical Estimation -- VIII. Valuation Haircuts and Implied Credit Spread Shock for Relevant Country Exposures -- IX. Estimation Methodology for Sovereign Risk Valuation Haircuts -- X. Foreign Currency Shock -- XI. Pay-out Ratio and Hurdle Rates -- XII. Basel III Transition Schedule Possible Satellite Model Specification -- XIII. Output Format for Reporting Firms to Hong Kong Monetary Authority -- ANNEX -- Guidelines for the Bottom-Up Solvency Stress Test--Banking.
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.
9781498392174
Economic development.
International finance.
Electronic books.
HD82 -- .P467 2014eb
338.9
People's Republic of China–Hong Kong Special Administrative Region : Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note. - 1 online resource (128 pages) - IMF Staff Country Reports ; v.Country Report No. 14/210 . - IMF Staff Country Reports .
Cover -- CONTENTS -- GLOSSARY -- EXECUTIVE SUMMARY -- INTRODUCTION -- A. Background and Objective -- B. Synopsis -- SOLVENCY STRESS TESTS -- A. Summary of All Solvency Stress Tests -- B. Bottom-Up Solvency Stress Tests -- C. Top-Down Solvency Stress Tests -- D. Reconciliation of Solvency Stress Tests -- LIQUIDITY STRESS TESTS -- SUMMARY AND POLICY IMPLICATIONS -- REFERENCES -- BOX -- 1. Overview of the Systemic Contingent Claims Approach Framework for Stress Testing and the Implementation in the Context of Hong Kong SAR -- FIGURES -- 1. Macroprudential Stress Tests of Banking Sector -- 2. Structural Features of Hong Kong Financial Sector -- 3. Banking Sector Developments -- 4. Banking Sector Soundness -- 5. Banking Sector Performance -- 6. Banking Sector-Lending and Deposit Composition -- 7. Banking Sector-Lending and Deposit Trends -- 8. Macroeconomic Assumptions under Different Stress Test Scenarios (1) -- 9. Macroeconomic Assumptions under Different Stress Test Scenarios (2) -- 10. Liquidity and Short-term Funding -- 11. Top-down Liquidity Stress Test Results-Implied Cash Flow Analysis -- 12. Evolution of Aggregate Capital Ratios in Solvency Stress Tests (1) -- 13.Evolution of Aggregate Capital Ratios in Solvency Stress Tests (2) -- 14. Comparison of IMF Top-down Solvency Stress Test Results--Baseline and Severe Adverse Scenario, Capital Adequacy Ratio (Total Capital) -- 15. Comparison of IMF Top-down Solvency Stress Test Results--Baseline and Severe Adverse Scenario, CET1 Ratio -- 16. Solvency Stress Test (IMF Top-down Approach)-Risk Drivers -- 17. Systemic Contingent Claims Approach-Distribution of Market-Implied Individual Expected Losses (Historical and Forecasted) -- TABLES -- 1. Risk Assessment Matrix -- 2. Stress Test Matrix (STeM) for the Banking Sector--Liquidity -- 3. Stress Test Matrix (STeM) for the Banking Sector--Solvency. 4. Financial Soundness Indicators of the Banking Sector, 2007-13 -- 5. Economic Activity under Different Scenarios -- 6. HKMA Solvency Top-down Stress Test-Detailed Assumptions (Scenario Analysis) -- 7. Liquidity Stress Test-Maturity Mismatch Analysis -- 8. Systemic Contingent Claims Approach-Comparison of Total Assets for Locally Incorporated Licensed Banks and Respective Listed Entities -- 9. Overview of Sample Banks in the Solvency and Liquidity Stress Testing Exercise -- 10. Overview of Risk Approach (Basel II) of Sample Banks in Top-down Solvency Stress Test -- 11. Supervisory Stress Tests: Implied Cash Flow and Credit/Market Risk Linkages of Liquidity Conditions -- 12. Basel III Liquidity Risk Framework: Standard Measures (LCR and NSFR) -- 13. Summary of Satellite Model Estimation -- 14. IMF Top-down Solvency Test: Descriptive Statistics/FSIs -- APPENDICES -- I. Timeline for Completion of Solvency BU Stress -- II. Key Bottom-up Solvency Stress Test Parameters -- III. Overview of Stress Test Scenarios -- IV. Estimated Asset Swap Rate Curve -- V. Possible Satellite Model Specification -- VI. Concentration Impact on RWAs under Stress -- VII. Minimum Funding Cost: Empirical Estimation -- VIII. Valuation Haircuts and Implied Credit Spread Shock for Relevant Country Exposures -- IX. Estimation Methodology for Sovereign Risk Valuation Haircuts -- X. Foreign Currency Shock -- XI. Pay-out Ratio and Hurdle Rates -- XII. Basel III Transition Schedule Possible Satellite Model Specification -- XIII. Output Format for Reporting Firms to Hong Kong Monetary Authority -- ANNEX -- Guidelines for the Bottom-Up Solvency Stress Test--Banking.
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.
9781498392174
Economic development.
International finance.
Electronic books.
HD82 -- .P467 2014eb
338.9