South Africa: Financial Sector Assessment Program-Stress Testing the Financial System-Technical Note

March 3, 2015

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Format: Chicago

South Africa: Financial Sector Assessment Program-Stress Testing the Financial System-Technical Note, (USA: International Monetary Fund, 2015) accessed December 3, 2024

Summary

This Technical Note discusses stress testing (ST) results for the financial system of South Africa. The bank STs suggest that banks have adequate capital to withstand severe shocks, but need larger liquidity capacity to meet regulatory requirements. Even in the severe scenario in which GDP falls for three consecutive years, banks’ capital buffers seem sufficient, although the impact of a large default could be significant. Banks also appear resilient to market risks in both the trading and banking books. Some banks, however, would have difficulty meeting the Liquidity Coverage Ratio without the Committed Liquidity Facility of the South African Reserve Bank.

Subject: Banking, Capital adequacy requirements, Credit, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Insurance companies, Liquidity requirements, Money, Stress testing

Keywords: Africa, Bank STs, Banking sector, Coverage ratio, CR, Credit, Credit risk, Global, Insurance companies, Insurance ST, Interest rate shock, ISCR, Liquidity requirements, Market risk shock, Mortgage portfolio, Net income, Stress testing

Publication Details

Pages:

44
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2015/054
Stock No:

1ZAFEA2015004
ISBN:

9781498367608
ISSN:

1934-7685

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