TY  - BOOK
AU  - Chan-Lau,Jorge A.
TI  - Market-Based Structural Top-Down Stress Tests of the Banking System
T2  - IMF Working Papers; Working Paper
SN  - 1484306317 :
SN  - 1018-5941
PY  - 2013///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Applications
KW  - imf
KW  - Banking
KW  - Credit Risk
KW  - Default Risk
KW  - Financial Forecasting and Simulation
KW  - Government Policy and Regulation
KW  - Jersey
N2  - Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks' trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy
UR  - http://elibrary.imf.org/view/IMF001/20415-9781484306314/20415-9781484306314/20415-9781484306314.xml
UR  - http://www.imfbookstore.org/IMFORG/9781484306314
ER  -