IMF Staff Country Reports

Denmark: Financial Sector Assessment Program: Technical Note: Stress Testing

March 23, 2007

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International Monetary Fund. "Denmark: Financial Sector Assessment Program: Technical Note: Stress Testing", IMF Staff Country Reports 2007, 125 (2007), accessed April 15, 2025, https://doi.org/10.5089/9781451811223.002

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Summary

This technical note describes the stress testing exercises carried out for the Danish commercial banking system and the insurance sector. The tests were conducted as part of the Financial Sector Assessment Program for Denmark and were developed in collaboration with the Danish Financial Supervisory Agency (DFSA) and Danmarks Nationalbank (DNB). Two approaches—bottom-up and top-down—were employed in the analysis. Results of the stress test show that under changing macroeconomic conditions, credit risk could materialize, causing a substantial deterioration in banks’ results.

Subject: Banking, Credit, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Loans, Market risk, Money, Stress testing

Keywords: Bank concentration, Banks funding, Capital base, CR, Credit, Credit risk, Credit risk measurement, Europe, Foreign exchange, ISCR, Loan portfolio, Loans, Market risk, Model validation, Portfolio credit risk stress tests, Staff estimation, Stress testing, Unexpected loss, Yield curve

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