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.

Description based on publisher supplied metadata and other sources.

Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.